Applications of Hilfer-Prabhakar operator to option pricing financial model

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In this paper, we focus on option pricing models based on time-fractional diffusion with generalized Hilfer-Prabhakar derivative. It is demonstrated how the option is priced for fractional cases of European vanilla option pricing models. Series representations of the pricing formulas and the risk-neutral parameter under the time-fractional diffusion are also derived.

Ž. Tomovski, J. Dubbeldam, J. Korbel, Applications of Hilfer-Prabhakar operator to option pricing financial model, Fractional Calculus and Applied Analysis, Band 23, Heft 4 (2020)