英文标题：
《Series representation of the pricing formula for the European option
  driven by space-time fractional diffusion》
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作者：
Jean-Philippe Aguilar, Cyril Coste, Jan Korbel
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最新提交年份：
2018
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英文摘要：
  In this paper, we show that the price of an European call option, whose underlying asset price is driven by the space-time fractional diffusion, can be expressed in terms of rapidly convergent double-series. The series formula can be obtained from the Mellin-Barnes representation of the option price with help of residue summation in $\\mathbb{C}^2$. We also derive the series representation for the associated risk-neutral factors, obtained by Esscher transform of the space-time fractional Green functions.
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中文摘要：
本文证明了标的资产价格受时空分数扩散驱动的欧式看涨期权的价格可以用快速收敛的双级数表示。该系列公式可从期权价格的梅林-巴恩斯表示中获得，借助于剩余总和，单位为$\\ mathbb{C}^2$。我们还推导了通过时空分数格林函数的Esscher变换得到的相关风险中性因子的级数表示。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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