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In this paper, we focus on option pricing models based on space-timefractional diffusion. We briefly revise recent results which show that theoption price can be represented in the terms of rapidly convergingdouble-series and apply these results to the data from real markets. We focuson estimation of model parameters from the market data and estimation ofimplied volatility within the space-time fractional option pricing models.

Option Pricing Models Driven by the Space-Time Fractional Diffusion: Series Representation and Applications