On the Quantitative Properties of Some Market Models Involving Fractional Derivatives

On the Quantitative Properties of Some Market Models Involving Fractional Derivatives

We review and discuss the properties of various models that are used to describe the behavior of stock returns and are related in a way or another to fractional pseudo-differential operators in the space variable; we compare their main features and discuss what behaviors they are able to capture. Th...

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Bibliographic Details
Main Authors:	Jean-Philippe Aguilar, Jan Korbel, Nicolas Pesci
Format:	Article
Language:	English
Published:	MDPI AG 2021-12-01
Series:	Mathematics
Subjects:	option pricing fractional calculus stable laws lévy processes Riemann–Liouville derivative Riesz–Feller derivative
Online Access:	https://www.mdpi.com/2227-7390/9/24/3198

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