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- 2018
Option Pricing Models Driven by the Space-Time Fractional Diffusion: Series Representation and ApplicationsDOI: https://doi.org/10.3390/fractalfract2010015 Keywords: space-time fractional diffusion, European option pricing, Mellin transform, multidimensional complex analysis Abstract: 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
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