Circulant preconditioning technique for barrier options pricing under fractional diffusion models (Q2804507): Difference between revisions

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Property / author: Wen-Fei Wang / rank
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Property / full work available at URL: https://doi.org/10.1080/00207160.2015.1077948 / rank
 
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Latest revision as of 21:10, 11 July 2024

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Circulant preconditioning technique for barrier options pricing under fractional diffusion models
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    Circulant preconditioning technique for barrier options pricing under fractional diffusion models (English)
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    29 April 2016
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    barrier options pricing
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    Lévy process
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    fractional diffusion equations
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    Krylov subspace methods
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    circulant preconditioner
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