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.
Keywords:
Price impact
; Option pricing
; liquidity
; L$\hat{e}$vy process
; fractional differential equations
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