{"id":"https://openalex.org/W4295127404","doi":"https://doi.org/10.1142/s175289092250012x","title":"Pricing Problem of Geometric Average Asian Barrier Option Based on Uncertain Fractional Differential Equation","display_name":"Pricing Problem of Geometric Average Asian Barrier Option Based on Uncertain Fractional Differential Equation","publication_year":2022,"publication_date":"2022-09-10","ids":{"openalex":"https://openalex.org/W4295127404","doi":"https://doi.org/10.1142/s175289092250012x"},"language":"en","primary_location":{"id":"doi:10.1142/s175289092250012x","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s175289092250012x","pdf_url":null,"source":{"id":"https://openalex.org/S4210199942","display_name":"Journal of Uncertain Systems","issn_l":"1752-8909","issn":["1752-8909","1752-8917"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Uncertain Systems","raw_type":"journal-article"},"type":"article","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/A5002457406","display_name":"Pengfei Yu","orcid":"https://orcid.org/0000-0002-8361-7625"},"institutions":[{"id":"https://openalex.org/I36399199","display_name":"Nanjing University of Science and Technology","ror":"https://ror.org/00xp9wg62","country_code":"CN","type":"education","lineage":["https://openalex.org/I36399199"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Pengfei Yu","raw_affiliation_strings":["School of Mathematics and Statistics, Nanjing University of Science and Technology, Nanjing 210094, Jiangsu, P. R. China"],"affiliations":[{"raw_affiliation_string":"School of Mathematics and Statistics, Nanjing University of Science and Technology, Nanjing 210094, Jiangsu, P. R. China","institution_ids":["https://openalex.org/I36399199"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5029155705","display_name":"Yuanguo Zhu","orcid":"https://orcid.org/0000-0003-3176-4428"},"institutions":[{"id":"https://openalex.org/I36399199","display_name":"Nanjing University of Science and Technology","ror":"https://ror.org/00xp9wg62","country_code":"CN","type":"education","lineage":["https://openalex.org/I36399199"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Yuanguo Zhu","raw_affiliation_strings":["School of Mathematics and Statistics, Nanjing University of Science and Technology, Nanjing 210094, Jiangsu, P. R. China"],"affiliations":[{"raw_affiliation_string":"School of Mathematics and Statistics, Nanjing University of Science and Technology, Nanjing 210094, Jiangsu, P. R. China","institution_ids":["https://openalex.org/I36399199"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5029155705"],"corresponding_institution_ids":["https://openalex.org/I36399199"],"apc_list":null,"apc_paid":null,"fwci":1.459,"has_fulltext":false,"cited_by_count":6,"citation_normalized_percentile":{"value":0.83040559,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":91,"max":98},"biblio":{"volume":"16","issue":"02","first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12135","display_name":"Fuzzy Systems and Optimization","score":0.9940000176429749,"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"}},"topics":[{"id":"https://openalex.org/T12135","display_name":"Fuzzy Systems and Optimization","score":0.9940000176429749,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.5864203572273254},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5520886182785034},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.5184780955314636},{"id":"https://openalex.org/keywords/uncertainty-theory","display_name":"Uncertainty theory","score":0.5127385854721069},{"id":"https://openalex.org/keywords/barrier-option","display_name":"Barrier option","score":0.5073265433311462},{"id":"https://openalex.org/keywords/asian-option","display_name":"Asian option","score":0.4809919595718384},{"id":"https://openalex.org/keywords/type","display_name":"Type (biology)","score":0.47181236743927},{"id":"https://openalex.org/keywords/finite-difference-methods-for-option-pricing","display_name":"Finite difference methods for option pricing","score":0.4456499218940735},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.44472092390060425},{"id":"https://openalex.org/keywords/differential-equation","display_name":"Differential equation","score":0.4181944727897644},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.41534945368766785},{"id":"https://openalex.org/keywords/black\u2013scholes-model","display_name":"Black\u2013Scholes model","score":0.3574827313423157},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.2630627453327179},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.15375304222106934}],"concepts":[{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.5864203572273254},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5520886182785034},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.5184780955314636},{"id":"https://openalex.org/C51152595","wikidata":"https://www.wikidata.org/wiki/Q7882501","display_name":"Uncertainty theory","level":2,"score":0.5127385854721069},{"id":"https://openalex.org/C2776631005","wikidata":"https://www.wikidata.org/wiki/Q808919","display_name":"Barrier option","level":2,"score":0.5073265433311462},{"id":"https://openalex.org/C1898038","wikidata":"https://www.wikidata.org/wiki/Q728255","display_name":"Asian option","level":3,"score":0.4809919595718384},{"id":"https://openalex.org/C2777299769","wikidata":"https://www.wikidata.org/wiki/Q3707858","display_name":"Type (biology)","level":2,"score":0.47181236743927},{"id":"https://openalex.org/C104859751","wikidata":"https://www.wikidata.org/wiki/Q5450390","display_name":"Finite difference methods for option pricing","level":4,"score":0.4456499218940735},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.44472092390060425},{"id":"https://openalex.org/C78045399","wikidata":"https://www.wikidata.org/wiki/Q11214","display_name":"Differential equation","level":2,"score":0.4181944727897644},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.41534945368766785},{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.3574827313423157},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.2630627453327179},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.15375304222106934},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1142/s175289092250012x","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s175289092250012x","pdf_url":null,"source":{"id":"https://openalex.org/S4210199942","display_name":"Journal of Uncertain Systems","issn_l":"1752-8909","issn":["1752-8909","1752-8917"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Uncertain Systems","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G209617949","display_name":null,"funder_award_id":"61673011","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"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":24,"referenced_works":["https://openalex.org/W1832168765","https://openalex.org/W1964364544","https://openalex.org/W2017297397","https://openalex.org/W2026999635","https://openalex.org/W2051563587","https://openalex.org/W2054550614","https://openalex.org/W2057112219","https://openalex.org/W2071575826","https://openalex.org/W2077791698","https://openalex.org/W2117157474","https://openalex.org/W2126151844","https://openalex.org/W2151065060","https://openalex.org/W2161836471","https://openalex.org/W2163991121","https://openalex.org/W2606376523","https://openalex.org/W2896858168","https://openalex.org/W2897396761","https://openalex.org/W2905527752","https://openalex.org/W2927877475","https://openalex.org/W2960652284","https://openalex.org/W3116159108","https://openalex.org/W4206830167","https://openalex.org/W4234521054","https://openalex.org/W4253062931"],"related_works":["https://openalex.org/W2612960204","https://openalex.org/W2030629250","https://openalex.org/W2372820002","https://openalex.org/W1820400330","https://openalex.org/W2316919354","https://openalex.org/W2964109718","https://openalex.org/W3157534343","https://openalex.org/W177835522","https://openalex.org/W2406013293","https://openalex.org/W4295127404"],"abstract_inverted_index":{"In":[0],"this":[1],"paper,":[2],"we":[3,32],"investigate":[4],"pricing":[5,61],"problems":[6],"of":[7,18,49,99],"geometric":[8,67],"average":[9,68],"Asian":[10,69],"barrier":[11,70],"options":[12],"based":[13,27,54],"on":[14,28,55],"a":[15,46],"Caputo":[16,47],"type":[17,48],"uncertain":[19,30,40,50],"fractional":[20,41,51,56],"differential":[21,57],"equation.":[22,58],"Unlike":[23],"traditional":[24],"stock":[25],"models":[26],"stochastic/":[29],"processes,":[31],"assume":[33],"that":[34],"underlying":[35],"assets":[36],"are":[37,63,93],"subject":[38],"to":[39,95],"processes.":[42],"First,":[43],"it":[44],"provides":[45],"mean-reverting":[52],"model":[53],"Then":[59],"the":[60,73,77,81,86,97,100],"formulas":[62],"acquired":[64],"for":[65],"four":[66],"options,":[71],"namely,":[72],"up-and-in":[74],"call":[75,88],"option,":[76,80],"down-and-in":[78],"put":[79,83],"up-and-out":[82],"option":[84],"and":[85],"down-and-out":[87],"option.":[89],"Meanwhile,":[90],"numerical":[91],"simulations":[92],"devised":[94],"validate":[96],"results":[98],"model.":[101]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":5}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}