Applications of Hilfer-Prabhakar operator to option pricing financial model

Živorad Tomovski, Johan L.A. Dubbeldam, Jan Korbel

Research output: Contribution to journalArticleScientificpeer-review

1 Citation (Scopus)

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 languageEnglish
Pages (from-to)996-1012
Number of pages17
JournalFractional Calculus and Applied Analysis
Volume23
Issue number4
DOIs
Publication statusPublished - 2020

Keywords

  • Cauchy problem
  • European pricing model
  • Fractional diffusion
  • Heat equation
  • Hilfer-Prabhakar derivatives
  • Mittag-Leffler functions

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