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

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F18%3A00320246" target="_blank" >RIV/68407700:21340/18:00320246 - isvavai.cz</a>
Result on the web
<a href="http://www.mdpi.com/2504-3110/2/1/15" target="_blank" >http://www.mdpi.com/2504-3110/2/1/15</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.3390/fractalfract2010015" target="_blank" >10.3390/fractalfract2010015</a>

Result language
angličtina
Original language name
Option Pricing Models Driven by the Space-Time Fractional Diffusion: Series Representation and Applications
Original language description
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.
Czech name
—
Czech description
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Project
<a href="/en/project/GF17-33812L" target="_blank" >GF17-33812L: An information-theoretical perspective on complex systems</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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