Applications of Hilfer-Prabhakar operator to option pricing financial model

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F20%3A00343765" target="_blank" >RIV/68407700:21340/20:00343765 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.1515/fca-2020-0052" target="_blank" >https://doi.org/10.1515/fca-2020-0052</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1515/fca-2020-0052" target="_blank" >10.1515/fca-2020-0052</a>

Result language
angličtina
Original language name
Applications of Hilfer-Prabhakar operator to option pricing financial model
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
—
Czech description
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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/GA19-16066S" target="_blank" >GA19-16066S: Nonlinear interactions and information transfer in complex systems with extreme events</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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