Reliability index and Asian barrier option pricing formulas of the uncertain fractional first-hitting time model with Caputo type
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DOI: 10.1016/j.chaos.2020.110409
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- Wang, Weiwei & Ralescu, Dan A., 2021. "Valuation of lookback option under uncertain volatility model," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).
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Keywords
Uncertain fractional differential equation; Reliability index; Asian barrier option; First-hitting time model; α-Path; Predictor-corrector method;All these keywords.
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