Modeling of financial processes with a space-time fractional diffusion equation of varying order

DOI10.1515/FCA-2016-0073zbMath1354.91178OpenAlexW2566489497MaRDI QIDQ501519

Yuri Luchko, Jan Korbel

Publication date: 9 January 2017

Published in: Fractional Calculus \& Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/fca-2016-0073

zbMATH Keywords

option pricingCaputo fractional derivativespace-time fractional diffusion equationfinancial modelingRiesz-Feller fractional derivative

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Fractional processes, including fractional Brownian motion (60G22) Economic time series analysis (91B84) Fractional derivatives and integrals (26A33) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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