Fractional Liu process with application to finance

DOI10.1016/J.MCM.2009.08.031MaRDI QIDQ970062zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

credibility theoryEuropean optionsfuzzy calculusfuzzy processoption pricing formula

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Inference from stochastic processes and fuzziness (62M86) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• B-valued fuzzy variable
• Arbitrage in fractional Brownian motion models
• Arbitrage with Fractional Brownian Motion
• Expected value and variance of geometric Liu process
• Fractional Brownian motion, random walks and binary market models
• Fractional Brownian Motions, Fractional Noises and Applications
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Fuzzy sets
• On analytic functions of complex Liu process
• ON INEQUALITIES AND CRITICAL VALUES OF FUZZY RANDOM VARIABLES
• Portfolio selection based on fuzzy cross-entropy
• Uncertain optimal control with application to a portfolio selection model
• Uncertainty theory
• Uncertainty theory. An introduction to its axiomatic foundations.

Cited in

(15)

• Existence, uniqueness and stability of fuzzy fractional differential equations with local Lipschitz and linear growth conditions
• Credit derivatives pricing model for fuzzy financial market
• A no-arbitrage theorem for uncertain stock model
• An extended formulation of calculus of variations for incommensurate fractional derivatives with fractional performance index
• Pricing of European call option under fuzzy interest rate
• European option pricing problems with fractional uncertain processes
• Continuous time processes for finance. Switching, self-exciting, fractional and other recent dynamics
• Fractional Liu uncertain differential equation and its application to finance
• European option pricing under fuzzy CEV model
• scientific article; zbMATH DE number 1642344 (Why is no real title available?)
• Expected value and variance of geometric Liu process
• On the existence and uniqueness of fuzzy differential equations with monotone condition
• A power option pricing model for stock price following geometric fractional Liu process
• A fuzzy control system with application to production planning problems
• Uncertain differential equations driven by fractional Liu process

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