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Fuzzy Optimization and Decision Making

Erschienen in:

22.10.2018

European option pricing model based on uncertain fractional differential equation

verfasst von: Ziqiang Lu, Hongyan Yan, Yuanguo Zhu

Erschienen in: Fuzzy Optimization and Decision Making | Ausgabe 2/2019

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Abstract

In this paper, we investigate a new version of stock model under uncertain circumstances for uncertain stock markets. Firstly, solutions to some uncertain fractional differential equations are presented by employing the Mittag-Leffler function. Then, a new uncertain stock model with mean-reverting process is formulated on the basis of uncertain fractional differential equations. Finally, European option pricing formulas based on the proposed model are investigated as well as some numerical examples.

Vorheriger Artikel Fuzzy eigenvector method for deriving normalized fuzzy priorities from fuzzy multiplicative pairwise comparison matrices

Nächster Artikel Cores and dominance cores of cooperative games endowed with fuzzy payoffs

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Titel: European option pricing model based on uncertain fractional differential equation
verfasst von: Ziqiang Lu
Hongyan Yan
Yuanguo Zhu
Publikationsdatum: 22.10.2018
Verlag: Springer US
Erschienen in: Fuzzy Optimization and Decision Making / Ausgabe 2/2019
Print ISSN: 1568-4539
Elektronische ISSN: 1573-2908
DOI: https://doi.org/10.1007/s10700-018-9293-4

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