Applications of Hilfer-Prabhakar operator to option pricing financial model

Journal article (2020)

Authors

Živorad Tomovski University of Ostrava

J.L.A. Dubbeldam Mathematical Physics -

Jan Korbel Medical University of Vienna, Complexity Science Hub Vienna, Czech Technical University

Research Group

Mathematical Physics () (TU Delft)

DOI: https://doi.org/10.1515/fca-2020-0052

Cauchy problem European pricing model Fractional diffusion Heat equation Hilfer-Prabhakar derivatives Mittag-Leffler functions

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http://resolver.tudelft.nl/uuid:58d6ea12-c07b-4fac-9b96-2260370f0116

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Published Date

2020

Language

English

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Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Research Group

Mathematical Physics

Abstract

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.

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