European option pricing problem based on a class of Caputo-Hadamard uncertain fractional differential equation

Autor:	Hanjie Liu, Yuanguo Zhu, Yiyu Liu
Jazyk:	angličtina
Rok vydání:	2023
Předmět:	uncertainty theory uncertain fractional differential equation mean-reverting process european option uncertain interference Mathematics QA1-939
Zdroj:	AIMS Mathematics, Vol 8, Iss 7, Pp 15633-15650 (2023)
Druh dokumentu:	article
ISSN:	2473-6988 20591993
DOI:	10.3934/math.2023798?viewType=HTML
Popis:	Uncertain fractional differential equation (UFDE) is very suitable for describing the dynamic change in uncertain environments. In this paper, we consider the European option pricing problem by applying the Caputo-Hadamard UFDEs to simulate the dynamic change of stock price. First, an uncertain stock model with the mean-reverting process is studied, and the European option pricing formulas are given. Then, the effect of uncertain interference on the bond is considered, and the corresponding European option pricing formulas are presented. Finally, some numerical examples are given to illustrate the effectiveness of pricing formulas.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/cf205919938540dba197164e707d557b Zobrazit plný text záznamu View record in DOAJ