Option Pricing Models Driven by the Space-Time Fractional Diffusion: Series Representation and Applications

被引：13
|
作者：
Aguilar, Jean-Philippe [1 ]
Korbel, Jan [2 ,3 ,4 ]
机构：
[1] IBRED Banque Populaire, Modeling Dept, 18 Quai Rapee, F-75012 Paris, France
[2] Med Univ Vienna, Sect Sci Complex Syst, Ctr Med Stat Informat & Intelligent Syst CeMSIIS, Spitalgasse 23, A-1090 Vienna, Austria
[3] Complex Sci Hub Vienna, Josefstadterstr 39, A-1080 Vienna, Austria
[4] Czech Tech Univ, Fac Nucl Sci & Phys Engn, CR-11519 Prague, Czech Republic
来源：
FRACTAL AND FRACTIONAL | 2018年 / 2卷 / 01期
基金：
奥地利科学基金会;
关键词：
space-time fractional diffusion; European option pricing; Mellin transform; multidimensional complex analysis;
D O I：
10.3390/fractalfract2010015
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
In this paper, we focus on option pricing models based on space-time fractional diffusion. We briefly revise recent results which show that the option price can be represented in the terms of rapidly converging double-series and apply these results to the data from real markets. We focus on estimation of model parameters from the market data and estimation of implied volatility within the space-time fractional option pricing models.
引用
收藏
页码：1 / 16
页数：16
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