Abstract
Uncertain fractional differential equations have been playing an important role in modelling complex dynamic systems. Early researchers have presented the extreme value theorems and time integral theorem on uncertain fractional differential equation. As applications of these theorems, this paper investigates the pricing problems of American option and Asian option under uncertain financial markets based on uncertain fractional differential equations. Then the analytical solutions and numerical solutions of these option prices are derived, respectively. Finally, some numerical experiments are performed to verify the effectiveness of our results.
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This work was supported by the National Natural Science Foundation of China (Grant No. 71771147) and the Shanghai Jiao Tong University.
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Wang, W., Ralescu, D.A. Option pricing formulas based on uncertain fractional differential equation. Fuzzy Optim Decis Making 20, 471–495 (2021). https://doi.org/10.1007/s10700-021-09354-z
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DOI: https://doi.org/10.1007/s10700-021-09354-z