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Fractional Partial Differential Equations associated with L$\hat{e}$vy Stable Process

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A peer-reviewed article of this preprint also exists.

Reem Abdullah Aljedhi,

Adem Kilicman^*

Reem Abdullah Aljedhi,

Adem Kilicman^*

This version is not peer-reviewed

Submitted:

27 February 2020

Posted:

28 February 2020

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Abstract

In this study, we first present a time-fractional L$\hat{e}$vy diffusion equation of the exponential option pricing models of European option pricing and the risk-neutral parameter. Then, we modify a particular L$\hat{e}$vy-time fractional diffusion equation of European-style options. Introduce a more general model from the models based on the L$\hat{e}$vy-time fractional diffusion equation and review some recent findings regarding of the Europe option pricing of risk-neutral free.

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Subject: Computer Science and Mathematics - Applied Mathematics

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