Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process (Q2293569)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7163101
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process |
scientific article; zbMATH DE number 7163101 |
Statements
Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process (English)
0 references
5 February 2020
0 references
option pricing model
0 references
non-local PDE
0 references
fractional diffusion equations
0 references
tempered fractional derivatives
0 references
Lévy processes
0 references
CGMYe model
0 references
0 references
0 references
0.89813113
0 references
0.8767117
0 references
0.8726828
0 references
0.87215674
0 references
0.8672351
0 references
0.86563003
0 references
0.86107117
0 references
0 references
0.8555355
0 references
