Fractional Liu process with application to finance
نویسندگان
چکیده
منابع مشابه
Fractional Liu Process and Applications to Finance
In this paper, we consider fractional Liu process. First, the membership functions, expected values and variances of arithmetic and geometric fractional Liu process are given. Then we suppose that stock price follows geometric fractional Liu process and formulate fractional Liu’s stock model. Based on this model, European option pricing formulas are obtained.
متن کاملMulti-Dimensional Uncertain Calculus with Liu Process
Uncertain calculus deals with the integral and differential of some uncertain processes. So far, uncertain integrals have been defined with respect to Liu process, renewal process, finite variation process, and multiple Liu processes. This paper presents an uncertain integral of a matrix of uncertain processes with respect to multi-dimensional Liu process, and verifies its linearity property. T...
متن کاملThe Proposed Modified Liu System with Fractional Order
1 Department of Physics, Urmia Branch, Islamic Azad University, P.O. Box 969, Oromiyeh, Iran 2Department of Mathematics and Computer Science, Çankaya University, 06530 Ankara, Turkey 3 Institute of Space Sciences, P.O. Box MG-23, 76900 Magurele-Bucharest, Romania 4Department of Chemical and Materials Engineering, Faculty of Engineering, King Abdulaziz University, P.O. Box 80204, Jeddah 21589, S...
متن کاملSome Extensions of Wiener-Liu Process and Ito-Liu Integral
In this paper, multi-dimensional Wiener-Liu process is proposed. Wiener-Liu process is a type of hybrid process, it corresponds to Brownian motion (Wiener process) in stochastic process and Liu process in fuzzy process. In classical analysis, the basic operations are differential and integral. Correspondingly, Ito-Liu formula plays the role of Ito formula in stochastic process and Liu formula i...
متن کاملFractional Canonical Process and Its Application
In this paper, a new canonical process in uncertainty is proposed. And then, we defined some new concepts, for example, fractional canonical process, arithmetic canonical process and geometry canonical process. Based on this canonical process, we obtain some useful conclusions and some properties in finance.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematical and Computer Modelling
سال: 2009
ISSN: 0895-7177
DOI: 10.1016/j.mcm.2009.08.031