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

[摘要] 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.

[学科分类] 数值分析

[关键词] space-time fractional diffusion;European option pricing;Mellin transform;multidimensional complex analysis