An explicit closed-form analytical solution for European options under the CGMY model
type: Item
instance of: scholarly article
title: An explicit closed-form analytical solution for European options under the CGMY model
zbMATH Open document ID: 1473.91020
author: Meiyu Du
author: Xiang Xu
author: Wen-Ting Chen
published in: Communications in Nonlinear Science and Numerical Simulation
publication date: 2020-10-07T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 26A33
Mathematics Subject Classification ID: 35R11
zbMATH DE Number: 7257091
zbMATH Keywords: CGMY model
zbMATH Keywords: fractional derivatives
zbMATH Keywords: Lévy process
zbMATH Keywords: closed-form analytical solution
MaRDI profile type: Publication
full work available at URL: j.cnsns.2016.05.026
OpenAlex ID: W2414938837
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DOI: 10.1016/J.CNSNS.2016.05.026
description: scientific article; zbMATH DE number 7257091