European option pricing model based on uncertain fractional differential equation
Ziqiang Lu, Hongyan Yan, Yuanguo Zhu
| Year of publication: |
2019
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|---|---|
| Authors: | Lu, Ziqiang ; Yan, Hongyan ; Zhu, Yuanguo |
| Published in: |
Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1568-4539, ZDB-ID 2167798-0. - Vol. 18.2019, 2, p. 199-217
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| Subject: | Uncertainty | Fractional differential equation | Mean reverting process | Option pricing | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Risiko | Risk | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10700-018-9293-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012228556