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An explicit closed-form analytical solution for European options under the CGMY model.

Wenting ChenMeiyu DuXiang Xu
Published in: Commun. Nonlinear Sci. Numer. Simul. (2017)
Keyphrases
  • closed form
  • objective function
  • closed form expressions
  • probabilistic model
  • feature extraction
  • special case
  • em algorithm
  • point correspondences
  • gaussian mixture
  • closed form solutions
  • iterative procedure