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

We concentrate on the analytical study on the pricing model for options written on multi-assets. These assets are assumed to follow a multi-variate CGMYe process through linear combination. We show that a European option satisfies a tempered fractional partial differential equation, for which the fundamental solution is given in an explicit form. For American options, the decomposition formula and the integral equation for the optimal-exercise boundary are also established. Furthermore, parameter estimations are implemented for the multi-dimensional problem, and several numerical simulations are provided for a European basket put.