Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process

DOI10.1016/J.CAMWA.2018.07.002zbMATH Open1431.91395OpenAlexW2886631995WikidataQ129435025 ScholiaQ129435025MaRDI QIDQ2293569FDOQ2293569

Authors: Xu Guo, Yu-Tian Li, Hong Wang 

Publication date: 5 February 2020

Published in: Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2018.07.002

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zbMATH Keywords

fractional diffusion equationsoption pricing modelnon-local PDEtempered fractional derivativesCGMYe modelLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited In (7)

• An explicit closed-form analytical solution for European options under the CGMY model
• Tensor-train format solution with preconditioned iterative method for high dimensional time-dependent space-fractional diffusion equations with error analysis
• A preconditioned iterative method for coupled fractional partial differential equation in European option pricing
• An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models
• The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing
• A novel banded preconditioner for coupled tempered fractional diffusion equation generated from the regime-switching CGMY model
• Multi-asset option pricing in incomplete market driven by multivariate normal tempered stable process

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