Fractional Liu process with application to finance
DOI10.1016/J.MCM.2009.08.031zbMATH Open1185.60039OpenAlexW2015668163MaRDI QIDQ970062FDOQ970062
Authors: Zhongfeng Qin, Xin Gao 
Publication date: 8 May 2010
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.mcm.2009.08.031
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Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Inference from stochastic processes and fuzziness (62M86)
Cites Work
- Fuzzy sets
- Fractional Brownian Motions, Fractional Noises and Applications
- Portfolio selection based on fuzzy cross-entropy
- Arbitrage in fractional Brownian motion models
- Arbitrage with Fractional Brownian Motion
- Fractional Brownian motion, random walks and binary market models
- Uncertainty theory. An introduction to its axiomatic foundations.
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- ON INEQUALITIES AND CRITICAL VALUES OF FUZZY RANDOM VARIABLES
- Uncertainty theory
- Uncertain optimal control with application to a portfolio selection model
- \(\mathcal B\)-valued fuzzy variable
- Expected value and variance of geometric Liu process
- On analytic functions of complex Liu process
Cited In (14)
- Pricing of European call option under fuzzy interest rate
- Title not available (Why is that?)
- A no-arbitrage theorem for uncertain stock model
- European option pricing under fuzzy CEV model
- Expected value and variance of geometric Liu process
- Existence, uniqueness and stability of fuzzy fractional differential equations with local Lipschitz and linear growth conditions
- European option pricing problems with fractional uncertain processes
- On the existence and uniqueness of fuzzy differential equations with monotone condition
- Credit derivatives pricing model for fuzzy financial market
- A fuzzy control system with application to production planning problems
- An extended formulation of calculus of variations for incommensurate fractional derivatives with fractional performance index
- Fractional Liu uncertain differential equation and its application to finance
- Continuous time processes for finance. Switching, self-exciting, fractional and other recent dynamics
- A power option pricing model for stock price following geometric fractional Liu process
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