Applications of Hilfer-Prabhakar Operator to Option Pricing Financial Model

FRACTIONAL CALCULUS AND APPLIED ANALYSIS(2020)

引用 9|浏览3
暂无评分
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.
更多
查看译文
关键词
Hilfer-Prabhakar derivatives, Mittag-Leffler functions, European pricing model, Cauchy problem, heat equation, fractional diffusion
AI 理解论文
溯源树
样例
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要