Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process

DOI10.1016/j.camwa.2018.07.002zbMath1431.91395OpenAlexW2886631995MaRDI QIDQ2293569

Yutian Li, Xu Guo, Hong Wang

Publication date: 5 February 2020

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

Full work available at URL: https://doi.org/10.1016/j.camwa.2018.07.002

zbMATH Keywords

Lévy processesfractional diffusion equationsoption pricing modelnon-local PDEtempered fractional derivativesCGMYe model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11)

Related Items

An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models, Tensor-train format solution with preconditioned iterative method for high dimensional time-dependent space-fractional diffusion equations with error analysis

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• A Jump-Diffusion Model for Option Pricing
• Multivariate distribution models with generalized hyperbolic margins
• Partial differential equations. 4th ed
• Processes of normal inverse Gaussian type
• Lévy Copulas: Review of Recent Results
• Pricing and Hedging in Exponential Lévy Models: Review of Recent Results
• Jump-Diffusion Models Driven by Lévy Processes
• Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples
• Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• The normal inverse gaussian lévy process: simulation and approximation
• Valuation of American options under the CGMY model
• Simulation of Estimates Using the Empirical Characteristic Function
• Financial Modelling with Jump Processes
• The Variance Gamma Process and Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Option pricing when underlying stock returns are discontinuous
• Stable Distributions in Statistical Inference: 1. Symmetric Stable Distributions Compared to Other Symmetric Long-Tailed Distributions