An explicit closed-form analytical solution for European options under the CGMY model

DOI10.1016/j.cnsns.2016.05.026zbMath1473.91020OpenAlexW2414938837MaRDI QIDQ2004808

Xiang Xu, Meiyu Du, 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

zbMATH Keywords

fractional derivativesLévy processCGMY modelclosed-form analytical solution

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Derivative securities (option pricing, hedging, etc.) (91G20) Fractional partial differential equations (35R11)

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