Option pricing formulas based on uncertain fractional differential equation

DOI10.1007/s10700-021-09354-zzbMath1478.91177OpenAlexW3133841657WikidataQ113903086 ScholiaQ113903086MaRDI QIDQ2070754

Dan A. Ralescu, Wei-wei Wang

Publication date: 24 January 2022

Published in: Fuzzy Optimization and Decision Making (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10700-021-09354-z

zbMATH Keywords

option pricingfractional differential equationuncertainty theoryextreme valuetime integral

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Ordinary differential equations and systems with randomness (34F05) Qualitative investigation and simulation of ordinary differential equation models (34C60) Fractional ordinary differential equations (34A08) Fuzzy ordinary differential equations (34A07)

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Existence and uniqueness of solutions to uncertain fractional switched systems with an uncertain stock model ⋮ Saddle-point equilibrium for Hurwicz model considering zero-sum differential game of uncertain dynamical systems with jump ⋮ Vulnerable European call option pricing based on uncertain fractional differential equation ⋮ Unnamed Item ⋮ Nonlinear impulsive problems for uncertain fractional differential equations

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