Applications of Hilfer-Prabhakar operator to option pricing financial model
2020 ◽
Vol 23
(4)
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pp. 996-1012
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AbstractIn 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.
2018 ◽
Vol 33
(7)
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pp. 1007-1025
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Keyword(s):
Keyword(s):
2020 ◽
Keyword(s):