An explicit closed-form analytical solution for European options under the CGMY model

DOI10.1016/J.CNSNS.2016.05.026MaRDI QIDQ2004808zbMATH OpenOpenAlexFDO

Authors Meiyu Du, Xiang Xu, Wen-Ting Chen

Publication date 7 October 2020

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2016.05.026

zbMATH Keywords

fractional derivativesCGMY modelclosed-form analytical solutionLévy process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fractional derivatives and integrals (26A33) Fractional partial differential equations (35R11)

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Cites work

• scientific article; zbMATH DE number 2015688 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A modified generalized Laguerre-Gauss collocation method for fractional neutral functional-differential equations on the half-line
• A predictor-corrector approach for pricing American options under the finite moment log-stable model
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
• Accurate Evaluation of European and American Options Under the CGMY Process
• Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
• Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
• Derivatives pricing with marked point processes using tick-by-tick data
• How Duration Between Trades of Underlying Securities Affects Option Prices*
• Pricing Parisian and Parasian options analytically
• The random walk's guide to anomalous diffusion: A fractional dynamics approach

Cited in

(8)

• Option pricing under finite moment log stable process in a regulated market: a generalized fractional path integral formulation and Monte Carlo based simulation
• Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps
• Option pricing under the KoBol model
• Numerical approximation of a time-fractional Black-Scholes equation
• Arbitrage with fractional Gaussian processes
• The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing
• Pricing stock loans with the CGMY model
• Valuation of American options under the CGMY model

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