Estimation of parameters and valuation of options written on multiple assets described by uncertain fractional differential equations

Yue Xin, Yi Zhang, Idin Noorani, Farshid Mehrdoust, Jinwu Gao

Abstract: Highlights•Parameter estimation of uncertain fractional differential equations (UFDEs) by minimum cover method.•Option pricing written on multiple assets when the asset price dynamics are described by UFDEs.•Valuation of uncertain hypothesis test for UFDEs estimated by minimum cover method.