{"id":"https://openalex.org/W3207836271","doi":"https://doi.org/10.1016/j.chaos.2021.111442","title":"Fuzzy simulation of European option pricing using sub-fractional Brownian motion","display_name":"Fuzzy simulation of European option pricing using sub-fractional Brownian motion","publication_year":2021,"publication_date":"2021-10-11","ids":{"openalex":"https://openalex.org/W3207836271","doi":"https://doi.org/10.1016/j.chaos.2021.111442","mag":"3207836271"},"language":"en","primary_location":{"id":"doi:10.1016/j.chaos.2021.111442","doi":"https://doi.org/10.1016/j.chaos.2021.111442","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.chaos.2021.111442","pdf_url":null,"source":{"id":"https://openalex.org/S70718007","display_name":"Chaos Solitons & Fractals","issn_l":"0960-0779","issn":["0960-0779","1873-2887"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-class-a","anvur-scientific","cwts-core","dongbi-a","jufo-1","ki-jl-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Chaos, Solitons & Fractals","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5110634801","display_name":"Liu Chun Gen . Zhu Shao Hong . Li Jun . Deng Bian","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I177739611","display_name":"Yangtze University","ror":"https://ror.org/05bhmhz54","country_code":"CN","type":"education","lineage":["https://openalex.org/I177739611"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Liu Bian","raw_affiliation_strings":["School of Information and Mathematics, Yangtze University, Jingzhou 434023, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Information and Mathematics, Yangtze University, Jingzhou 434023, China","institution_ids":["https://openalex.org/I177739611"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5100715584","display_name":"Zhi Li","orcid":"https://orcid.org/0000-0001-9057-9623","observed_orcids":["https://orcid.org/0000-0001-9057-9623"]},"institutions":[{"id":"https://openalex.org/I177739611","display_name":"Yangtze University","ror":"https://ror.org/05bhmhz54","country_code":"CN","type":"education","lineage":["https://openalex.org/I177739611"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Zhi Li","raw_affiliation_strings":["School of Information and Mathematics, Yangtze University, Jingzhou 434023, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Information and Mathematics, Yangtze University, Jingzhou 434023, China","institution_ids":["https://openalex.org/I177739611"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5100715584"],"corresponding_institution_ids":["https://openalex.org/I177739611"],"apc_list":{"value":2200,"currency":"USD","value_usd":2200},"apc_paid":null,"fwci":3.5996,"has_fulltext":false,"cited_by_count":26,"citation_normalized_percentile":{"value":0.93541867,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":97,"max":99},"biblio":{"volume":"153","issue":null,"first_page":"111442","last_page":"111442"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9887999892234802,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9887999892234802,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12135","display_name":"Fuzzy Systems and Optimization","score":0.00989999994635582,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10288","display_name":"Fractional Differential Equations Solutions","score":0.0006000000284984708,"subfield":{"id":"https://openalex.org/subfields/2611","display_name":"Modeling and Simulation"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/european-option-pricing","display_name":"European option pricing","score":0.996999979019165},{"id":"https://openalex.org/keywords/sub-fractional-brownian-motion","display_name":"sub-fractional Brownian motion","score":0.9919999837875366},{"id":"https://openalex.org/keywords/fuzzy-simulation","display_name":"fuzzy simulation","score":0.6890000104904175},{"id":"https://openalex.org/keywords/hurst-exponent","display_name":"Hurst exponent","score":0.8240000009536743},{"id":"https://openalex.org/keywords/long-term-memory","display_name":"long-term memory","score":0.8980000019073486},{"id":"https://openalex.org/keywords/financial-market-uncertainty","display_name":"financial market uncertainty","score":0.6880000233650208},{"id":"https://openalex.org/keywords/fractal-theory","display_name":"fractal theory","score":0.6510000228881836}],"concepts":[{"id":"https://openalex.org/C108819105","wikidata":"https://www.wikidata.org/wiki/Q1143293","display_name":"Fractional Brownian motion","level":3,"score":0.7331448197364807},{"id":"https://openalex.org/C96835011","wikidata":"https://www.wikidata.org/wiki/Q1638718","display_name":"Hurst exponent","level":2,"score":0.627334713935852},{"id":"https://openalex.org/C125112378","wikidata":"https://www.wikidata.org/wiki/Q176640","display_name":"Randomness","level":2,"score":0.5996593832969666},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.49706748127937317},{"id":"https://openalex.org/C58166","wikidata":"https://www.wikidata.org/wiki/Q224821","display_name":"Fuzzy logic","level":2,"score":0.4908950924873352},{"id":"https://openalex.org/C185632549","wikidata":"https://www.wikidata.org/wiki/Q48967834","display_name":"Investment theory","level":3,"score":0.4722299575805664},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.45965614914894104},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.4296448230743408},{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.42528656125068665},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.40988290309906006},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.40554141998291016},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3916674554347992},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3897196054458618},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3809620141983032},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3463709354400635},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.25715014338493347},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.1954757273197174},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.19265040755271912},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.07931786775588989},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.07548153400421143},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/j.chaos.2021.111442","doi":"https://doi.org/10.1016/j.chaos.2021.111442","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.chaos.2021.111442","pdf_url":null,"source":{"id":"https://openalex.org/S70718007","display_name":"Chaos Solitons & Fractals","issn_l":"0960-0779","issn":["0960-0779","1873-2887"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-class-a","anvur-scientific","cwts-core","dongbi-a","jufo-1","ki-jl-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Chaos, Solitons & Fractals","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:chsofr:v:153:y:2021:i:p2:s0960077921007967","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0960077921007967","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":22,"referenced_works":["https://openalex.org/W63803524","https://openalex.org/W591296147","https://openalex.org/W1510269140","https://openalex.org/W1977797817","https://openalex.org/W1988093952","https://openalex.org/W2002228445","https://openalex.org/W2009721924","https://openalex.org/W2010806909","https://openalex.org/W2050553287","https://openalex.org/W2054804749","https://openalex.org/W2077791698","https://openalex.org/W2094340188","https://openalex.org/W2128887841","https://openalex.org/W2146612430","https://openalex.org/W2151065060","https://openalex.org/W2356944970","https://openalex.org/W2393304088","https://openalex.org/W2559969663","https://openalex.org/W2790110130","https://openalex.org/W2912565176","https://openalex.org/W4211007335","https://openalex.org/W4237560474"],"related_works":["https://openalex.org/W3085654351","https://openalex.org/W2920123991","https://openalex.org/W3013196584","https://openalex.org/W2089088849","https://openalex.org/W4393392669","https://openalex.org/W1970089206","https://openalex.org/W4292867183","https://openalex.org/W7170092940","https://openalex.org/W7161265155","https://openalex.org/W4400156693"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":4},{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":8},{"year":2023,"cited_by_count":5},{"year":2022,"cited_by_count":5}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2021-10-25T00:00:00"}