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Applications of Hilfer-Prabhakar Operator to Option Pricing Financial Model · Study

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ArticleApplications of Hilfer-Prabhakar Operator to Option Pricing Financial Model

Živorad Tomovski2020

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Articlegreen2020

Applications of Hilfer-Prabhakar Operator to Option Pricing Financial Model

Živorad Tomovski · Johan L. A. Dubbeldam · Jan Korbel

24 citations·0/0 files stored·Fractional Calculus and Applied Analysis

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Stochastic processes and financial applications Fractional Differential Equations Solutions Fuzzy Systems and Optimization

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References

1973The Pricing of Options and Corporate Liabilities 1995Option pricing by Esscher transforms.2003The Finite Moment Log Stable Process and Option Pricing 2004Option pricing with Mellin transnforms 2014Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative 2016Option pricing beyond Black–Scholes based on double-fractional diffusion 1994A Simple Approach to Option Valuation and Hedging in the Black-Scholes Model

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Year2020

Typearticle

Published2020-08-01

VenueFractional Calculus and Applied Analysis

ISSN-L1311-0454

Languageen

Citations24

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1515/fca-2020-0052

openalex_workW3097296748

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