A fractional Black-Scholes model with stochastic volatility and European option pricing

作者：

Highlights：

• European option pricing is studied under a FMLS model with stochastic volatility.

• We have successfully solved a fractional partial differential equation system.

• The derived pricing formula is truly explicit, involving no Fourier inversion.

摘要

•European option pricing is studied under a FMLS model with stochastic volatility.•We have successfully solved a fractional partial differential equation system.•The derived pricing formula is truly explicit, involving no Fourier inversion.

论文关键词：FMLS model,Stochastic volatility,Explicit and analytical,Fractional partial differential equation

论文评审过程：Received 18 November 2020, Revised 19 February 2021, Accepted 30 March 2021, Available online 9 April 2021, Version of Record 22 April 2021.

论文官网地址：https://doi.org/10.1016/j.eswa.2021.114983