SERIES REPRESENTATION OF THE PRICING FORMULA FOR THE EUROPEAN OPTION DRIVEN BY SPACE-TIME FRACTIONAL DIFFUSION

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F18%3A00324822" target="_blank" >RIV/68407700:21340/18:00324822 - isvavai.cz</a>
Result on the web
<a href="https://www.degruyter.com/view/j/fca.2018.21.issue-4/fca-2018-0054/fca-2018-0054.xml?format=INT" target="_blank" >https://www.degruyter.com/view/j/fca.2018.21.issue-4/fca-2018-0054/fca-2018-0054.xml?format=INT</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1515/fca-2018-0054" target="_blank" >10.1515/fca-2018-0054</a>

Result language
angličtina
Original language name
SERIES REPRESENTATION OF THE PRICING FORMULA FOR THE EUROPEAN OPTION DRIVEN BY SPACE-TIME FRACTIONAL DIFFUSION
Original language description
In this paper, we show that the price of an European call option, whose underlying asset price is driven by the space-time fractional diffusion, can be expressed in terms of rapidly convergent double-series. This series formula is obtained from the Mellin-Barnes representation of the option price with help of residue summation in C-2. We also derive the series representation for the associated risk-neutral factors, obtained by Esscher transform of the space-time fractional Green functions.
Czech name
—
Czech description
—

Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability

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

Similar results(10)