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Fractional Partial Differential Equations Associated with Lêvy Stable Process

Department of Mathematics and Institute for Mathematical Research, University Putra Malaysia, UPM Serdang 43400, Selangor, Malaysia
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Mathematics 2020, 8(4), 508; https://doi.org/10.3390/math8040508
Received: 27 February 2020 / Revised: 17 March 2020 / Accepted: 22 March 2020 / Published: 2 April 2020
(This article belongs to the Special Issue Financial Mathematics)
In this study, we first present a time-fractional L 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 e ^ vy-time fractional diffusion equation of European-style options. Further, we introduce a more general model based on the L e ^ vy-time fractional diffusion equation and review some recent findings associated with risk-neutral free European option pricing. View Full-Text
Keywords: price impact; option pricing; liquidity; Lêvy process; fractional differential equations; fractional Lêvy process price impact; option pricing; liquidity; Lêvy process; fractional differential equations; fractional Lêvy process
MDPI and ACS Style

Aljedhi, R.A.; Kılıçman, A. Fractional Partial Differential Equations Associated with Lêvy Stable Process. Mathematics 2020, 8, 508.

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