Applications of Hilfer-Prabhakar operator to option pricing financial model
| Autor: | Johan L.A. Dubbeldam, Jan Korbel, Živorad Tomovski |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
Cauchy problem
Computer Science::Computer Science and Game Theory Hilfer-Prabhakar derivatives Series (mathematics) Applied Mathematics Heat equation 01 natural sciences 010305 fluids & plasmas 010101 applied mathematics Operator (computer programming) Derivative (finance) Valuation of options 0103 physical sciences Fractional diffusion Financial modeling European pricing model 0101 mathematics Mathematical economics Analysis Mittag-Leffler functions Mathematics |
| Zdroj: | Fractional Calculus and Applied Analysis, 23(4) |
| ISSN: | 1311-0454 |
| Popis: | In this paper, we focus on option pricing models based on time-fractional diffusion with generalized Hilfer-Prabhakar derivative. It is demonstrated how the option is priced for fractional cases of European vanilla option pricing models. Series representations of the pricing formulas and the risk-neutral parameter under the time-fractional diffusion are also derived. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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