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

页码：1 / 16

页数：16

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