Applications of Hilfer-Prabhakar operator to option pricing financial model
Živorad Tomovski (University of Ostrava)
Johan Dubbeldam (TU Delft - Mathematical Physics)
Jan Korbel (Complexity Science Hub Vienna, Czech Technical University, Medical University of Vienna)
More Info
expand_more
Other than for strictly personal use, it is not permitted to download, forward or distribute the text or part of it, without the consent of the author(s) and/or copyright holder(s), unless the work is under an open content license such as Creative Commons.
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.