Fuzzy simulation of European option pricing using sub-fractional Brownian motion
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DOI: 10.1016/j.chaos.2021.111442
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Cited by:
- Xinyue Wei & Cuilian You & Yujie Zhang, 2023. "European Option Pricing Under Fuzzy CEV Model," Journal of Optimization Theory and Applications, Springer, vol. 196(2), pages 415-432, February.
- Ma, Pengcheng & Najafi, Alireza & Gomez-Aguilar, J.F., 2024. "Sub mixed fractional Brownian motion and its application to finance," Chaos, Solitons & Fractals, Elsevier, vol. 184(C).
- Xianfei Hui & Baiqing Sun & Hui Jiang & Yan Zhou, 2022. "Modeling dynamic volatility under uncertain environment with fuzziness and randomness," Papers 2204.12657, arXiv.org, revised Oct 2022.
- Hersugondo Hersugondo & Endang Tri Widyarti & Di Asih I Maruddani & Trimono Trimono, 2022. "ASEAN-5 Stock Price Index Valuation after COVID-19 Outbreak through GBM-MCS and VaR-SDPP Methods," IJFS, MDPI, vol. 10(4), pages 1-19, November.
- Wang, Song, 2024. "Pricing European call options with interval-valued volatility and interest rate," Applied Mathematics and Computation, Elsevier, vol. 474(C).
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Keywords
European option; Random fuzzy variable; Sub-fractional Brownian motion; Fuzzy simulation;All these keywords.
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