European option pricing problem based on a class of Caputo-Hadamard uncertain fractional differential equation

• DOI: 10.3934/math.2023798
• Publication Date: 2023-04-27T11:49:23Z
• Authors: Hanjie Liu; Yuanguo Zhu; Yiyu Liu
• Keywords: Stock (firearms)

<abstract><p>Uncertain fractional differential equation (UFDE) is very suitable for describing the dynamic change in uncertain environments. In this paper, we consider European option pricing problem by applying Caputo-Hadamard UFDEs to simulate of stock price. First, an model with mean-reverting process studied, and formulas are given. Then, effect interference on bond considered, corresponding presented. Finally, some numerical examples given illustrate effectiveness formulas.</p></abstract>