The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing

DOI10.1016/j.camwa.2018.08.028zbMath1442.91103OpenAlexW2895409737WikidataQ115359500 ScholiaQ115359500MaRDI QIDQ2203004

Gustav Ludvigsson, Lina von Sydow, Lars Josef Höök

Publication date: 1 October 2020

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

Full work available at URL: https://doi.org/10.1016/j.camwa.2018.08.028

zbMATH Keywords

numerical methodoption pricingKolmogorov equationsfractional partial differential equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fractional partial differential equations (35R11)

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Cites Work

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