Applications of Hilfer-Prabhakar operator to option pricing financial model-Reference-Cited by-同舟云学术

Applications of Hilfer-Prabhakar operator to option pricing financial model

Published:2020-08-01 Issue:4 Volume:23 Page:996-1012
ISSN:1314-2224
Container-title:Fractional Calculus and Applied Analysis
language:en
Short-container-title:

Author:

Tomovski Živorad¹,Dubbeldam Johan L. A.²,Korbel Jan³⁴⁵

Affiliation:

1. University of Ostrava , Faculty of Sciences Department of Mathematics , 30. Dubna 22 701 03 , Ostrava , Czech Republic

2. Delft Institute of Applied Mathematics , Delft Universiy of Technology , Mekelweg 4 2628CD , Delft , The Netherlands

3. Section for the Science of Complex Systems , CeMSIIS Medical University of Vienna , Spitalgasse 23 A-1090 , Vienna , Austria

4. Complexity Science Hub Vienna , Josefstädterstrasse 39, 1080 , Vienna , Austria

5. Faculty of Nuclear Sciences and Physical Engineering , Czech Technical University in Prague , Břehová 7 115 19 , Prague , Czech Republic

Abstract

Abstract 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.

Publisher

Walter de Gruyter GmbH

Subject

Applied Mathematics,Analysis

Link

https://www.degruyter.com/document/doi/10.1515/fca-2020-0052/pdf

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