Option Pricing Models Driven by the Space-Time Fractional Diffusion: Series Representation and Applications

Abstract

In this paper, we focus on option pricing models based on space-time fractional diffusion. We briefly revise recent results which show that the option price can be represented in the terms of rapidly converging double-series and apply these results to the data from real markets. We focus on estimation of model parameters from the market data and estimation of implied volatility within the space-time fractional option pricing models.

References in corpus (4)

• The fundamental solution of the space-time fractional diffusion equation
• Analytical properties and applications of the Wright function
• Green function of the double fractional Fokker-Planck equation: Path integral and stochastic differential equations
• Series representation of the pricing formula for the European option driven by space-time fractional diffusion

Cited by in corpus (2)

• Multiple Series Representations of $N$-fold Mellin-Barnes Integrals
• Series representation of the pricing formula for the European option driven by space-time fractional diffusion