Option Pricing Models Driven by the Space-Time Fractional Diffusion: Series Representation and Applications
Mathematical Finance
2018-04-09 v1
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.
Cite
@article{arxiv.1802.09864,
title = {Option Pricing Models Driven by the Space-Time Fractional Diffusion: Series Representation and Applications},
author = {Jean-Philippe Aguilar and Jan Korbel},
journal= {arXiv preprint arXiv:1802.09864},
year = {2018}
}