Series representation of the pricing formula for the European option driven by space-time fractional diffusion

DOI10.1515/fca-2018-0054zbMath1422.91675arXiv1712.04990OpenAlexW3122846196WikidataQ128974670 ScholiaQ128974670MaRDI QIDQ2318158

Jan Korbel, Cyril Coste, Jean-Philippe Aguilar

Publication date: 13 August 2019

Published in: Fractional Calculus \& Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.04990

zbMATH Keywords

Mellin transformEuropean option pricingspace-time fractional diffusionmultidimensional complex analysis

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Fractional derivatives and integrals (26A33) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)

Related Items (7)

Pricing of perpetual American put option with sub-mixed fractional Brownian motion ⋮ Option pricing based on modified advection-dispersion equation: stochastic representation and applications ⋮ Distributed order model of labor migration ⋮ Applications of Hilfer-Prabhakar operator to option pricing financial model ⋮ Series representation of the pricing formula for the European option driven by space-time fractional diffusion ⋮ On expansions for the Black-Scholes prices and hedge parameters ⋮ Option pricing under the subordinated market models

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