The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing (Q2203004)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing |
scientific article |
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The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing (English)
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1 October 2020
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fractional partial differential equation
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Kolmogorov equations
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option pricing
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numerical method
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