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Fractional taylor expansion
Posted: June 17th, 2010, 2:32 pm
by amazingJos
Hi, I'm currently reading Tsibiridi & Atkinson's paper "A possible way of estimating options with stable distributed underlying asset prices"In the paper, the first step to derive an option price with stable distribution is to write the fractional Taylor Series of the option price. I was wondering if any of you could provide me with papers dealing with fractional taylor expansion of stochastic processes' function? Many thanks for your help
Fractional taylor expansion
Posted: June 18th, 2010, 2:02 pm
by gsgiles
It is my experience that fractional derivatives and integrals were much more popular in the old USSR than elsewhere. I would look for a copy of 'Fractional Integrals and Derivatives' by Samko, Kilbas, Marichev. My copy was published by Gordon and Breach Science Publishers 1993. Good luck as it may not be the easiest book to find. Amazon has a used copy for only $400. A steal at twice the price.Happy Huntingand enjoy
Fractional taylor expansion
Posted: June 18th, 2010, 2:04 pm
by gsgiles
Check Google reader, scribd, and snips you my find chucnks of it.
Fractional taylor expansion
Posted: June 24th, 2010, 3:01 pm
by amazingJos
Ok, many thanks, I'll try to get it. Wish me good luck...