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

Jean-Philippe Aguilar and Jan Korbel

Papers from arXiv.org

Abstract: 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.

Date: 2018-02
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Published in Fractal Fract 2018, 2(1), 15

Downloads: (external link)
http://arxiv.org/pdf/1802.09864 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1802.09864

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().