An explicit closed-form analytical solution for European options under the CGMY model
DOI10.1016/J.CNSNS.2016.05.026zbMATH Open1473.91020OpenAlexW2414938837MaRDI QIDQ2004808FDOQ2004808
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
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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 (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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