Applications of Hilfer-Prabhakar operator to option pricing financial models
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61988987%3A17310%2F20%3AA2102946" target="_blank" >RIV/61988987:17310/20:A2102946 - isvavai.cz</a>
Result on the web
<a href="https://www.degruyter.com/document/doi/10.1515/fca-2020-0052/html" target="_blank" >https://www.degruyter.com/document/doi/10.1515/fca-2020-0052/html</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1515/fca-2020-0052" target="_blank" >10.1515/fca-2020-0052</a>
Alternative languages
Result language
angličtina
Original language name
Applications of Hilfer-Prabhakar operator to option pricing financial models
Original language description
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.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10102 - Applied mathematics
Result continuities
Project
—
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Fractional Calculus and Applied Analysis
ISSN
1311-0454
e-ISSN
1314-2224
Volume of the periodical
Vol.23
Issue of the periodical within the volume
4
Country of publishing house
BG - BULGARIA
Number of pages
17
Pages from-to
996-1012
UT code for WoS article
000591377100014
EID of the result in the Scopus database
2-s2.0-85092909670