Series representation of the pricing formula for the European option driven by space-time fractional diffusion
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- Kleinert, H. & Korbel, J., 2016. "Option pricing beyond Black–Scholes based on double-fractional diffusion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 449(C), pages 200-214.
- repec:bla:jfinan:v:58:y:2003:i:2:p:753-778 is not listed on IDEAS
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Cited by:
- Jean-Philippe Aguilar & Jan Korbel & Nicolas Pesci, 2021. "On the Quantitative Properties of Some Market Models Involving Fractional Derivatives," Mathematics, MDPI, vol. 9(24), pages 1-24, December.
- Jean-Philippe Aguilar & Jan Korbel, 2019. "Simple Formulas for Pricing and Hedging European Options in the Finite Moment Log-Stable Model," Risks, MDPI, vol. 7(2), pages 1-14, April.
- Jean-Philippe Aguilar & Jan Korbel & Yuri Luchko, 2019. "Applications of the Fractional Diffusion Equation to Option Pricing and Risk Calculations," Mathematics, MDPI, vol. 7(9), pages 1-23, September.
- Pedro Febrer & João Guerra, 2021. "Residue Sum Formula for Pricing Options under the Variance Gamma Model," Mathematics, MDPI, vol. 9(10), pages 1-29, May.
- Jean-Philippe Aguilar & Justin Lars Kirkby & Jan Korbel, 2020. "Pricing, Risk and Volatility in Subordinated Market Models," Risks, MDPI, vol. 8(4), pages 1-27, November.
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