Publication
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. This series formula is obtained from the Mellin-Barnes representation of the option price with help of residue summation in ℂ2. We also derive the series representation for the associated risk-neutral factors, obtained by Esscher transform of the space-time fractional Green functions.
J.P. Aguilar, C. Coste, J. Korbel, Series representation of the pricing formula for the European option driven by space-time fractional diffusion, Fractional Calculus and Applied Analysis, Vol. 21 (2018) 981–1004
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