[图书][B] Fractional calculus and fractional processes with applications to financial economics: Theory and application
H Fallahgoul, S Focardi, F Fabozzi - 2016 - books.google.com
Fractional Calculus and Fractional Processes with Applications to Financial Economics
presents the theory and application of fractional calculus and fractional processes to …
presents the theory and application of fractional calculus and fractional processes to …
[HTML][HTML] The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing
In this paper we derive the Kolmogorov forward fractional partial differential equation (FPDE)
for the CGMY-process. The resulting FPDE is solved numerically with a second order …
for the CGMY-process. The resulting FPDE is solved numerically with a second order …