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

DOI10.1016/J.CNSNS.2016.05.026zbMATH Open1473.91020OpenAlexW2414938837MaRDI QIDQ2004808FDOQ2004808

Xiang Xu, Meiyu Du, 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

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zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+process&go=Go L��vy process]fractional derivativesCGMY modelclosed-form analytical solution

Mathematics Subject Classification ID

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

Cites Work

• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Title not available (Why is that?)
• The random walk's guide to anomalous diffusion: A fractional dynamics approach
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• Pricing Parisian and Parasian options analytically
• 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
• A predictor-corrector approach for pricing American options under the finite moment log-stable model
• Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
• A modified generalized Laguerre-Gauss collocation method for fractional neutral functional-differential equations on the half-line
• Derivatives pricing with marked point processes using tick-by-tick data
• How Duration Between Trades of Underlying Securities Affects Option Prices*

Cited In (6)

• 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
• Numerical approximation of a time-fractional Black-Scholes equation
• Arbitrage with fractional Gaussian processes
• OPTION PRICING UNDER THE KOBOL MODEL
• Pricing stock loans with the CGMY model

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