Applications of Hilfer-Prabhakar operator to option pricing financial model
From MaRDI portal
Publication:2209191
DOI10.1515/fca-2020-0052zbMath1474.91213OpenAlexW3097296748MaRDI QIDQ2209191
Johan L. A. Dubbeldam, Jan Korbel, Živorad Tomovski
Publication date: 28 October 2020
Published in: Fractional Calculus \& Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/fca-2020-0052
heat equationCauchy problemMittag-Leffler functionsfractional diffusionHilfer-Prabhakar derivativesEuropean pricing model
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11)
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