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arXiv · 1802.09864

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

Jean-Philippe Aguilar·Jan Korbel
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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.

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Jean-Philippe Aguilar, Jan Korbel. 2018-02-27. Option Pricing Models Driven by the Space-Time Fractional Diffusion: Series Representation and Applications. https://doi.org/10.3390/fractalfract2010015

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