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

European optionscredibility theoryfuzzy processfuzzy calculusoption pricing formula

Mathematics Subject Classification ID

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)

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Cites work

• Arbitrage in fractional Brownian motion models
• Arbitrage with Fractional Brownian Motion
• Expected value and variance of geometric Liu process
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional Brownian motion, random walks and binary market models
• Fuzzy sets
• ON INEQUALITIES AND CRITICAL VALUES OF FUZZY RANDOM VARIABLES
• On analytic functions of complex Liu process
• 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.
• \(\mathcal B\)-valued fuzzy variable

Cited in

(14)

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

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