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.

引用

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页码：996 / 1012

页数：17

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