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 un...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 andα-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.展开更多
基金supported by the National Natural Science Foundation of China under Grant Nos.11871010 and 11971040by the Fundamental Research Funds for the Central Universities under Grant No.2019XD-A11supported by the National Natural Science Foundation of China under Grant No.71073020.
文摘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 andα-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.
