RELIABILITY INDEX AND OPTION PRICING FORMULAS OF THE FIRST-HITTING TIME MODEL BASED ON THE UNCERTAIN FRACTIONAL-ORDER DIFFERENTIAL EQUATION WITH CAPUTO TYPE

DOI10.1142/S0218348X21500122zbMath1482.91204OpenAlexW3081682612WikidataQ115245824 ScholiaQ115245824MaRDI QIDQ5024740

Ting Jin, Xiangfeng Yang, Hui Ding, Hongxuan Xia

Publication date: 27 January 2022

Published in: Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0218348x21500122

zbMATH Keywords

barrier optionpredictor-correctorfractional-order differential equationsreliability index\(\alpha\)-pathfirst-hitting time model

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11)

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