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This dissertation explores the pricing of financial derivatives using fractional diffusion models and Lévy processes, particularly focusing on the Generalized Tempered Stable process. It demonstrates that option prices can be derived from fractional partial differential equations (FPDEs) and implements a finite difference scheme for numerical solutions. The work aims to address limitations of traditional Black-Scholes models by incorporating jumps and extreme events in asset price dynamics.

Author

chengjiajun3057

Language

EN