%0 Journal Article
%T Option Pricing Models Driven by the Space-Time Fractional Diffusion: Series Representation and Applications
%A Jan Korbel
%A Jean-Philippe Aguilar
%J -
%D 2018
%R https://doi.org/10.3390/fractalfract2010015
%X 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. View Full-Tex
%K space-time fractional diffusion
%K European option pricing
%K Mellin transform
%K multidimensional complex analysis
%U https://www.mdpi.com/2504-3110/2/1/15