A new method for option pricing via time-fractional PDE

DOI10.1142/S1793557118500742zbMath1459.91202OpenAlexW2736403751MaRDI QIDQ4556420

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Publication date: 16 November 2018

Published in: Asian-European Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s1793557118500742

zbMATH Keywords

option pricingLaplace operatorfractional differential equationsgeometric Brownian motion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60) Fractional partial differential equations (35R11)

Related Items (4)

Power option pricing under the unstable conditions (evidence of power option pricing under fractional Heston model in the Iran gold market) ⋮ Pricing of Quanto power options and related exotic options ⋮ Stochastic analysis and invariant subspace method for handling option pricing with numerical simulation ⋮ Unnamed Item

Cites Work

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• Information and option pricings
• Arbitrage Theory in Continuous Time
• A streamlined derivation of the Black-Scholes option pricing formula

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