Abstract
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.
Original language | English |
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Pages (from-to) | 996-1012 |
Number of pages | 17 |
Journal | Fractional Calculus and Applied Analysis |
Volume | 23 |
Issue number | 4 |
DOIs | |
Publication status | Published - 2020 |
Keywords
- Cauchy problem
- European pricing model
- Fractional diffusion
- Heat equation
- Hilfer-Prabhakar derivatives
- Mittag-Leffler functions