Series representAtion of the Pricing Formula for the EuropeaN Option Driven by Space-Time Fractional Diffusion

被引：0
|
作者：
Jean-Philippe Aguilar
Cyril Coste
Jan Korbel
机构：
[1] BRED Banque Populaire,Modeling Department
[2] MAIF,Section for the Science of Complex Systems
[3] CeMSIIS Medical University of Vienna,Faculty of Nuclear Sciences and Physical Engineering
[4] Complexity Science Hub Vienna,undefined
[5] Czech Technical University in Prague,undefined
来源：
Fractional Calculus and Applied Analysis | 2018年 / 21卷
关键词：
26A33; 34A08; 91B25; 91G20; space-time fractional diffusion; European option pricing; Mellin transform; multidimensional complex analysis;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, we show that the price of an European call option, whose underlying asset price is driven by the space-time fractional diffusion, can be expressed in terms of rapidly convergent double-series. This series formula is obtained from the Mellin-Barnes representation of the option price with help of residue summation in ℂ2. We also derive the series representation for the associated risk-neutral factors, obtained by Esscher transform of the space-time fractional Green functions.
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页码：981 / 1004
页数：23
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