APPLICATIONS OF HILFER-PRABHAKAR OPERATOR TO OPTION PRICING FINANCIAL MODEL

被引：14
|
作者：
Tomovski, Zivorad [1 ]
Dubbeldam, Johan L. A. [2 ]
Korbel, Jan [3 ,4 ,5 ]
机构：
[1] Univ Ostrava, Fac Sci, Dept Math, 30 Dubna 22, Ostrava 70103, Czech Republic
[2] Delft Univ Technol, Delft Inst Appl Math, Mekelweg 4, NL-2628 CD Delft, Netherlands
[3] Med Univ Vienna, Sect Sci Complex Syst, CeMSIIS, Spitalgasse 23, A-1090 Vienna, Austria
[4] Complex Sci Hub Vienna, Josefstadterstr 39, A-1080 Vienna, Austria
[5] Czech Tech Univ, Fac Nucl Sci & Phys Engn, Brehova 7, Prague 11519, Czech Republic
来源：
FRACTIONAL CALCULUS AND APPLIED ANALYSIS | 2020年 / 23卷 / 04期
基金：
奥地利科学基金会;
关键词：
Hilfer-Prabhakar derivatives; Mittag-Leffler functions; European pricing model; Cauchy problem; heat equation; fractional diffusion;
D O I：
10.1515/fca-2020-0052
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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.
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页码：996 / 1012
页数：17
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