Fractional Liu process with application to finance

DOI10.1016/j.mcm.2009.08.031zbMath1185.60039OpenAlexW2015668163MaRDI QIDQ970062

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

credibility theoryfuzzy calculusEuropean optionsfuzzy processoption pricing formula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Inference from stochastic processes and fuzziness (62M86)

Related Items (9)

Existence, uniqueness and stability of fuzzy fractional differential equations with local Lipschitz and linear growth conditions ⋮ Credit derivatives pricing model for fuzzy financial market ⋮ An extended formulation of calculus of variations for incommensurate fractional derivatives with fractional performance index ⋮ Fractional Liu uncertain differential equation and its application to finance ⋮ A fuzzy control system with application to production planning problems ⋮ European option pricing under fuzzy CEV model ⋮ Unnamed Item ⋮ A no-arbitrage theorem for uncertain stock model ⋮ Pricing of European call option under fuzzy interest rate

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