smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2017SMQ / 16837136954650
Series representation of the pricing formula for the European option driven by space-time fractional diffusion
Cyril Coste / Jan Korbel / Jean-Philippe Aguilar
mathematical finance / option pricingResource overview

Series representation of the pricing formula for the European option driven by space-time fractional diffusion

Paper2017

by Cyril Coste, Jan Korbel, Jean-Philippe Aguilar

Tags
mathematical financeoption pricing

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

Go further

  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Derivatives Pricing and Computational Finance

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Cyril Coste, Jan Korbel, Jean-Philippe Aguilar

6