کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1136983 | 1489176 | 2009 | 6 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Fractional Liu process with application to finance
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
سایر رشته های مهندسی
کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Fractional Liu process with application to finance Fractional Liu process with application to finance](/preview/png/1136983.png)
چکیده انگلیسی
As a fuzzy counterpart of Brownian motion, Liu process has attracted more and more attention in the recent literature. In this paper, the concept of fractional Liu process is proposed as an extension of Liu process. Furthermore, we obtain the expressions of the membership functions, expected values and variances of arithmetic and geometric fractional Liu processes for each fixed time. As an application, geometric fractional Liu process is assumed to characterize the stock price, which formulates a new fuzzy stock model. Based on this proposed model, European option pricing formulas are gained and two numerical examples are given with different parameters.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematical and Computer Modelling - Volume 50, Issues 9–10, November 2009, Pages 1538–1543
Journal: Mathematical and Computer Modelling - Volume 50, Issues 9–10, November 2009, Pages 1538–1543
نویسندگان
Zhongfeng Qin, Xin Gao,