Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process (Q2293569)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process |
scientific article |
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Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process (English)
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5 February 2020
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option pricing model
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non-local PDE
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fractional diffusion equations
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tempered fractional derivatives
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Lévy processes
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CGMYe model
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0.89813113
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0.8726828
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0.87215674
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0.8672351
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0.86107117
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