Valuation of convertible bond based on uncertain fractional differential equation

DOI10.1007/s10700-024-09431-zMaRDI QIDQ6668718

Panpan Zhang, Weiwei Wang, Dan A. Ralescu

Publication date: 22 January 2025

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

zbMATH Keywords

expected valueoptimistic valueconvertible bonduncertain fractional differential equationuncertain hypothesis test

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• A predictor-corrector approach for the numerical solution of fractional differential equations
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• Numerical approach for solution to an uncertain fractional differential equation
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• Critical value-based Asian option pricing model for uncertain financial markets
• Extreme values for solution to uncertain fractional differential equation and application to American option pricing model
• European option pricing model based on uncertain fractional differential equation
• Vulnerable European call option pricing based on uncertain fractional differential equation
• Uncertain fractional differential equations and an interest rate model
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Uncertainty theory
• Uncertainty theory
• The numerical solution of fractional differential equations: speed versus accuracy
• Uncertain interest rate model for Shanghai interbank offered rate and pricing of American swaption
• Parameter estimation for uncertain fractional differential equations
• Extreme values of solution of Caputo-Hadamard uncertain fractional differential equation and applications

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