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| Vulnerable European Call Option Pricing Based on Uncertain Fractional Differential Equation | |
| 作者姓名： | LEI Ziqi ZHOU Qing WU Weixing WANG Zengwu |
| 作者单位： | 1. School of Science, Beijing University of Posts and Telecommunications;2. Research Center of Applied Finance and School of Finance and Banking, University of International Business and Economics;3. Institute of Finance and Banking, Chinese Academy of Social Sciences |
| 摘 要： | This paper presents two new versions of uncertain market models for valuing vulnerable European call option. The dynamics of underlying asset, counterparty asset, and corporate liability are formulated on the basis of uncertain differential equations and uncertain fractional differential equations of Caputo type, respectively, and the solution to an uncertain fractional differential equation of Caputo type is presented by employing the Mittag-Leffler function and α-path. Then, the pricing formul... |
Vulnerable European Call Option Pricing Based on Uncertain Fractional Differential Equation |
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| LEI Ziqi,ZHOU Qing,WU Weixing,WANG Zengwu.Vulnerable European Call Option Pricing Based on Uncertain Fractional Differential Equation[J].Journal of Systems Science and Complexity,2023,36(1):328-359. | |
| Authors: | Lei Ziqi Zhou Qing Wu Weixing Wang Zengwu |
| Institution: | 1.School of Science, Beijing University of Posts and Telecommunications, Beijing, 100876, China ;2.Research Center of Applied Finance and School of Finance and Banking, University of International Business and Economics, Beijing, 100029, China ;3.Institute of Finance and Banking, Chinese Academy of Social Sciences, Beijing, 100029, China ; |
| Abstract: | This paper presents two new versions of uncertain market models for valuing vulnerable European call option. The dynamics of underlying asset, counterparty asset, and corporate liability are formulated on the basis of uncertain differential equations and uncertain fractional differential equations of Caputo type, respectively, and the solution to an uncertain fractional differential equation of Caputo type is presented by employing the Mittag-Leffler function and α-path. Then, the pricing formulas of vulnerable European call option based on the proposed models are investigated as well as some algorithms. Some numerical experiments are performed to verify the effectiveness of the results. |
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