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1

Option pricing of fractional version of the Black–Scholes model with Hurst exponent H being in (13,12)

Xiao-Tian Wang, Wei-Yuan Qiu, Fu-Yao Ren

Journal:

Chaos, Solitons & Fractals

Year:

2001

Language:

english

File:

PDF, 136 KB

english, 2001

2

Option pricing of a bi-fractional Black–Merton–Scholes model with the Hurst exponent in

Jin-Rong Liang, Jun Wang, Wen-Jun Zhang, Wei-Yuan Qiu, Fu-Yao Ren

Journal:

Applied Mathematics Letters

Year:

2010

Language:

english

File:

PDF, 247 KB

english, 2010

3

Fractional Fokker-Planck Equation and Black-Scholes Formula in Composite-Diffusive Regime

Jin-Rong Liang, Jun Wang, Long-Jin Lǔ, Hui Gu, Wei-Yuan Qiu, Fu-Yao Ren

Journal:

Journal of Statistical Physics

Year:

2012

Language:

english

File:

PDF, 493 KB

english, 2012

4

Asymptotic behavior of a fractional Fokker–Planck-type equation

Fu-Yao Ren, Jin-Rong Liang, Wei-Yuan Qiu, Jian-Bin Xiao

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2007

Language:

english

File:

PDF, 165 KB

english, 2007

5

The application of fractional derivatives in stochastic models driven by fractional Brownian motion

Lv Longjin, Fu-Yao Ren, Wei-Yuan Qiu

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2010

Language:

english

File:

PDF, 336 KB

english, 2010

6

Fractional nonlinear diffusion equation and first passage time

Jun Wang, Wen-Jun Zhang, Jin-Rong Liang, Jian-Bin Xiao, Fu-Yao Ren

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2008

Language:

english

File:

PDF, 289 KB

english, 2008

7

Exact solutions for nonlinear fractional anomalous diffusion equations

Jin-Rong Liang, Fu-Yao Ren, Wei-Yuan Qiu, Jian-Bin Xiao

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2007

Language:

english

File:

PDF, 225 KB

english, 2007

8

A fractional version of the Merton model

Xiao-Tian Wang, Fu-Yao Ren, Xiang-Qian Liang

Journal:

Chaos, Solitons & Fractals

Year:

2003

Language:

english

File:

PDF, 129 KB

english, 2003

9

Solutions for multidimensional fractional anomalous diffusion equations

Lv, Long-Jin, Xiao, Jian-Bin, Ren, Fu-Yao, Gao, Lei

Journal:

Journal of Mathematical Physics

Year:

2008

Language:

english

File:

PDF, 440 KB

english, 2008

10

Generalized Einstein relation and the Metzler–Klafter conjecture in a composite-subdiffusive regime

Pan Hua, Wei-Yuan Qiu, Fu-Yao Ren, Long-Jin Lv

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2011

Language:

english

File:

PDF, 247 KB

english, 2011

11

The non-integer operation associated to random variation sets of the self-similar set

Fu-Yao Ren, Jin-Rong Liang

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2000

Language:

english

File:

PDF, 96 KB

english, 2000

12

Effect of different waiting time processes with memory to anomalous diffusion dynamics in an external force fields

Ren, Fu-Yao, Wang, Jun, Lv, Long-Jin, Pan, Hua, Qiu, Wei-Yuan

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2015

Language:

english

File:

PDF, 481 KB

english, 2015

13

Universality of stretched Gaussian asymptotic diffusion behavior on biased heterogeneous fractal structure in external force fields

Fu-Yao Ren, Yun Xu, Wei-Yuan Qiu, Jin-Rong Liang

Journal:

Chaos, Solitons & Fractals

Year:

2005

Language:

english

File:

PDF, 297 KB

english, 2005

14

Solutions of fractional nonlinear diffusion equation and first passage time: Influence of initial condition and diffusion coefficient

Jun Wang, Wen-Jun Zhang, Jin-Rong Liang, Pan Zhang, Fu-Yao Ren

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2008

Language:

english

File:

PDF, 412 KB

english, 2008

15

Option pricing of a mixed fractional–fractional version of the Black–Scholes model

Jian-Hong Chen, Fu-Yao Ren, Wei-Yuan Qiu

Journal:

Chaos, Solitons & Fractals

Year:

2004

Language:

english

File:

PDF, 337 KB

english, 2004

16

On some generalization of fractional Brownian motions

Xiao-Tian Wang, Xiang-Qian Liang, Fu-Yao Ren, Shi-Ying Zhang

Journal:

Chaos, Solitons & Fractals

Year:

2006

Language:

english

File:

PDF, 181 KB

english, 2006

17

The relationship between the fractional integral and the fractal structure of a memory set

Fu-Yao Ren, Zu-Guo Yu, Ji Zhou, Alain Le Mehaute, Raoul R. Nigmatullin

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

1997

Language:

english

File:

PDF, 434 KB

english, 1997

18

Answer to an open problem proposed by E Barkai and J Klafter

Ren, Fu-Yao, Qiu, Wei-Yuan, Xu, Yun, Liang, Jin-Rong

Journal:

Journal of Physics A: Mathematical and General Physics

Year:

2004

Language:

english

File:

PDF, 74 KB

english, 2004

19

Fractional Fokker–Planck equation on heterogeneous fractal structures in external force fields and its solutions

Fu-Yao Ren, Jin-Rong Liang, Wei-Yuan Qiu, Yun Xu

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2003

Language:

english

File:

PDF, 170 KB

english, 2003

20

Hausdorff dimensions of random net fractals

Jin-Rong Liang, Fu-Yao Ren

Journal:

Stochastic Processes and their Applications

Year:

1998

Language:

english

File:

PDF, 134 KB

english, 1998

21

Correlated continuous time random walk with time averaged waiting time

Lv, Longjin, Ren, Fu-Yao, Wang, Jun, Xiao, Jianbin

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2015

Language:

english

File:

PDF, 386 KB

english, 2015

22

The determination of the diffusion kernel on fractals and fractional diffusion equation for transport phenomena in random media

Fu-yao Ren, Jin-rong Liang, Xiao-Tian Wang

Journal:

Physics Letters A

Year:

1999

Language:

english

File:

PDF, 538 KB

english, 1999

23

A proof for French's empirical formula on option pricing

Fu-Yao Ren, Xiao-Tian Wang, Jin-Rong Liang

Journal:

Chaos, Solitons & Fractals

Year:

2001

Language:

english

File:

PDF, 139 KB

english, 2001

24

Integrals and derivatives on net fractals

Fu-Yao Ren, Jin-Rong Liang, Xiao-Tian Wang, Wei-Yuan Qiu

Journal:

Chaos, Solitons & Fractals

Year:

2003

Language:

english

File:

PDF, 140 KB

english, 2003

25

Whitening filter and innovations representation of self-similar process

Xiao-Tian Wang, Fu-Yao Ren, Wei-Yuan Qiu

Journal:

Chaos, Solitons & Fractals

Year:

2002

Language:

english

File:

PDF, 130 KB

english, 2002

26

The starlikeness of a certain class of integral operators

Owa, Shigeyoshi, Srivastava, H. M., Ren, Fu-Yao, Yang, Wei-Qi

Journal:

Complex Variables and Elliptic Equations

Year:

1995

Language:

english

File:

PDF, 334 KB

english, 1995

27

Fractional diffusion equations involving external forces in the higher dimensional case

Fu Zou, Fu-Yao Ren, Wei-Yuan Qiu

Journal:

Chaos, Solitons & Fractals

Year:

2004

Language:

english

File:

PDF, 290 KB

english, 2004

28

Determination of memory function and flux on fractals

Fu-Yao Ren, Wei-Yuan Qiu, Jin-Rong Liang, Xiao-Tian Wang

Journal:

Physics Letters A

Year:

2001

Language:

english

File:

PDF, 94 KB

english, 2001

29

An anomalous diffusion model in an external force fields on fractals

Fu-Yao Ren, Jin-Rong Liang, Wei-Yuan Qiu, Xiao-Tian Wang, Y. Xu, R.R. Nigmatullin

Journal:

Physics Letters A

Year:

2003

Language:

english

File:

PDF, 130 KB

english, 2003

30

Continuous time Black–Scholes equation with transaction costs in subdiffusive fractional Brownian motion regime

Jun Wang, Jin-Rong Liang, Long-Jin Lv, Wei-Yuan Qiu, Fu-Yao Ren

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2012

Language:

english

File:

PDF, 316 KB

english, 2012

31

Fractional integral associated to generalized cookie-cutter set and its physical interpretation

Yu, Zu-Guo, Ren, Fu-Yao, Zhou, Ji

Journal:

Journal of Physics A: Mathematical and General Physics

Year:

1997

Language:

english

File:

PDF, 139 KB

english, 1997

32

Stretched Gaussian asymptotic behavior for fractional Fokker–Planck equation on fractal structure in external force fields

Yun Xu, Fu-Yao Ren, Jin-Rong Liang, Wei-Yuan Qiu

Journal:

Chaos, Solitons & Fractals

Year:

2004

Language:

english

File:

PDF, 266 KB

english, 2004

33

A negative answer to a problem of bergweiler

Gong, Zhi-Min, Qiu, Wei-Yuan, Ren, Fu-Yao

Journal:

Complex Variables and Elliptic Equations

Year:

1996

Language:

english

File:

PDF, 317 KB

english, 1996

34

Stretched Gaussian Asymptotic Behavior for Fractional Giona–Roman Equation on Biased Heterogeneous Fractal Structure in External Force Fields

Wei-Yuan Qiu, Fu-Yao Ren, Yun Xu, Jin-Rong Liang

Journal:

Nonlinear Dynamics

Year:

2004

Language:

english

File:

PDF, 112 KB

english, 2004

35

Heterogeneous Memorized Continuous Time Random Walks in an External Force Fields

Jun Wang,Ji Zhou,Long-Jin Lv,Wei-Yuan Qiu,Fu-Yao Ren

Journal:

Journal of Statistical Physics

Year:

2014

Language:

english

File:

PDF, 255 KB

english, 2014

36

Fractional integral associated to the self-similar set or the generalized self-similar set and its physical interpretation

Fu-Yao Ren, Zu-Guo Yu, Feng Su

Journal:

Physics Letters A

Year:

1996

Language:

english

File:

PDF, 589 KB

english, 1996

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