An explicit closed-form analytical solution for European options under the CGMY model (Q2004808)
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scientific article; zbMATH DE number 7257091
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An explicit closed-form analytical solution for European options under the CGMY model |
scientific article; zbMATH DE number 7257091 |
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An explicit closed-form analytical solution for European options under the CGMY model (English)
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7 October 2020
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CGMY model
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fractional derivatives
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Lévy process
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closed-form analytical solution
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