A High Order Finite Difference Method for Tempered Fractional Diffusion Equations with Applications to the CGMY Model (Q4691176): Difference between revisions

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scientific article; zbMATH DE number 6958607

Language	Label	Description	Also known as
English	A High Order Finite Difference Method for Tempered Fractional Diffusion Equations with Applications to the CGMY Model	scientific article; zbMATH DE number 6958607

Statements

instance of

scholarly article

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title

A High Order Finite Difference Method for Tempered Fractional Diffusion Equations with Applications to the CGMY Model (English)

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SIAM Journal on Scientific Computing

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publication date

19 October 2018

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zbMATH Keywords

tempered fractional derivatives

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fractional diffusion equations

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fast finite difference methods

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CGMY model

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MaRDI profile type

MaRDI publication profile

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cites work

Accurate Evaluation of European and American Options Under the CGMY Process

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Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling

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Processes of normal inverse Gaussian type

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Fourth Order Accurate Scheme for the Space Fractional Diffusion Equations

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High Order Algorithms for the Fractional Substantial Diffusion Equation with Truncated Lévy Flights

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Convolution quadrature time discretization of fractional diffusion-wave equations

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Q5319035

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Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions

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Pricing Bermudan Options in Lévy Process Models

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Valuation of American options under the CGMY model

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A fourth-order scheme for space fractional diffusion equations

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A Fast Finite Difference Method for Tempered Fractional Diffusion Equations

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Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions

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A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes

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Discretized Fractional Calculus

0 references

The Variance Gamma Process and Option Pricing

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Simulation of Estimates Using the Empirical Characteristic Function

0 references

Q5190149

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Finite difference approximations for fractional advection-dispersion flow equations

0 references

Finite difference approximations for two-sided space-fractional partial differential equations

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Option pricing when underlying stock returns are discontinuous

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Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications

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Q4486401

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The normal inverse gaussian lévy process: simulation and approximation

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Tempered fractional calculus

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Q4937701

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A class of second order difference approximations for solving space fractional diffusion equations

0 references

An \(O(N \log ^{2}N)\) alternating-direction finite difference method for two-dimensional fractional diffusion equations

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The compact and Crank-Nicolson ADI schemes for two-dimensional semilinear multidelay parabolic equations

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full work available at URL

https://doi.org/10.1137/18m1172739

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Identifiers

zbMATH Open document ID

1407.65106

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DOI

10.1137/18M1172739

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4691176

@@ Property / cites work @@
+Accurate Evaluation of European and American Options Under the CGMY Process
+Normal rank
@@ Property / cites work @@
+Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
+Normal rank
@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
+Normal rank
@@ Property / cites work @@
+Fourth Order Accurate Scheme for the Space Fractional Diffusion Equations
+Normal rank
@@ Property / cites work @@
+High Order Algorithms for the Fractional Substantial Diffusion Equation with Truncated Lévy Flights
+Normal rank
@@ Property / cites work @@
+Convolution quadrature time discretization of fractional diffusion-wave equations
+Normal rank
@@ Property / cites work @@
+Q5319035
@@ Property / cites work: Q5319035 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
+Normal rank
@@ Property / cites work @@
+Pricing Bermudan Options in Lévy Process Models
@@ Property / cites work: Pricing Bermudan Options in Lévy Process Models / rank @@
+Normal rank
@@ Property / cites work @@
+Valuation of American options under the CGMY model
+Normal rank
@@ Property / cites work @@
+A fourth-order scheme for space fractional diffusion equations
+Normal rank
@@ Property / cites work @@
+A Fast Finite Difference Method for Tempered Fractional Diffusion Equations
+Normal rank
@@ Property / cites work @@
+Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions
+Normal rank
@@ Property / cites work @@
+A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
+Normal rank
@@ Property / cites work @@
+Discretized Fractional Calculus
@@ Property / cites work: Discretized Fractional Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Simulation of Estimates Using the Empirical Characteristic Function
+Normal rank
@@ Property / cites work @@
+Q5190149
@@ Property / cites work: Q5190149 / rank @@
+Normal rank
@@ Property / cites work @@
+Finite difference approximations for fractional advection-dispersion flow equations
+Normal rank
@@ Property / cites work @@
+Finite difference approximations for two-sided space-fractional partial differential equations
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
+Normal rank
@@ Property / cites work @@
+Q4486401
@@ Property / cites work: Q4486401 / rank @@
+Normal rank
@@ Property / cites work @@
+The normal inverse gaussian lévy process: simulation and approximation
+Normal rank
@@ Property / cites work @@
+Tempered fractional calculus
@@ Property / cites work: Tempered fractional calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+A class of second order difference approximations for solving space fractional diffusion equations
+Normal rank
@@ Property / cites work @@
+An \(O(N \log ^{2}N)\) alternating-direction finite difference method for two-dimensional fractional diffusion equations
+Normal rank
@@ Property / cites work @@
+The compact and Crank-Nicolson ADI schemes for two-dimensional semilinear multidelay parabolic equations
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1137/18m1172739
+Normal rank
@@ Property / OpenAlex ID @@
+W2896765605
@@ Property / OpenAlex ID: W2896765605 / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q129110882
@@ Property / Wikidata QID: Q129110882 / rank @@
+Normal rank