Fractional Partial Differential Equations Associated with L ê vy Stable Process

Reem Abdullah Aljedhi and Adem Kılıçman
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Reem Abdullah Aljedhi: Department of Mathematics and Institute for Mathematical Research, University Putra Malaysia, UPM Serdang 43400, Selangor, Malaysia
Adem Kılıçman: Department of Mathematics and Institute for Mathematical Research, University Putra Malaysia, UPM Serdang 43400, Selangor, Malaysia

Mathematics, 2020, vol. 8, issue 4, 1-7

Abstract: In this study, we first present a time-fractional L e ^ vy diffusion equation of the exponential option pricing models of European option pricing and the risk-neutral parameter. Then, we modify a particular L e ^ vy-time fractional diffusion equation of European-style options. Further, we introduce a more general model based on the L e ^ vy-time fractional diffusion equation and review some recent findings associated with risk-neutral free European option pricing.

Keywords: price impact; option pricing; liquidity; L ê vy process; fractional differential equations; fractional L ê vy process (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2020
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