Circulant preconditioning technique for barrier options pricing under fractional diffusion models (Q2804507): Difference between revisions
From MaRDI portal
Removed claim: author (P16): Item:Q1676111 |
Changed an Item |
||
| Property / author | |||
| Property / author: Wen-Fei Wang / rank | |||
Normal rank | |||
Revision as of 03:53, 29 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Circulant preconditioning technique for barrier options pricing under fractional diffusion models |
scientific article |
Statements
Circulant preconditioning technique for barrier options pricing under fractional diffusion models (English)
0 references
29 April 2016
0 references
barrier options pricing
0 references
Lévy process
0 references
fractional diffusion equations
0 references
Krylov subspace methods
0 references
circulant preconditioner
0 references
