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

Xu Guo, Yutian Li, Hong Wang. Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process. Computers & Mathematics with Applications, 76(6):1500-1514, 2018. [doi]

Authors

Xu Guo

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Yutian Li

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Hong Wang

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