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The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.ORCID iD: 0000-0002-0837-2744
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.ORCID iD: 0000-0002-4835-2350
2018 (English)In: Computers and Mathematics with Applications, ISSN 0898-1221, E-ISSN 1873-7668, Vol. 76, p. 2330-2344Article in journal (Refereed) Published
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2018. Vol. 76, p. 2330-2344
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Computational Mathematics
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URN: urn:nbn:se:uu:diva-366099DOI: 10.1016/j.camwa.2018.08.028ISI: 000449135900002OAI: oai:DiVA.org:uu-366099DiVA, id: diva2:1263719
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eSSENCEAvailable from: 2018-10-01 Created: 2018-11-16 Last updated: 2019-06-26Bibliographically approved

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Höök, Lars JosefLudvigsson, Gustavvon Sydow, Lina

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