The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing (Q2203004)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing |
scientific article |
Statements
The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing (English)
0 references
1 October 2020
0 references
fractional partial differential equation
0 references
Kolmogorov equations
0 references
option pricing
0 references
numerical method
0 references
