Vulnerable European call option pricing based on uncertain fractional differential equation

DOI10.1007/s11424-023-1140-1OpenAlexW4322746077MaRDI QIDQ2699270

Ziqi Lei, Weixing Wu, Qing Zhou, ZengWu Wang

Publication date: 26 April 2023

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-023-1140-1

zbMATH Keywords

uncertainty\(\alpha\)-pathuncertain fractional differential equationvulnerable option pricing

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Derivative securities (option pricing, hedging, etc.) (91G20) Mittag-Leffler functions and generalizations (33E12)

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