European option pricing model based on uncertain fractional differential equation

Volume: 18, Issue: 2, Pages: 199 - 217
Published: Oct 22, 2018
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...
Paper Details
Title
European option pricing model based on uncertain fractional differential equation
Published Date
Oct 22, 2018
Volume
18
Issue
2
Pages
199 - 217
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