A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models (Q1651337): Difference between revisions

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Revision as of 23:21, 19 March 2024

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A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models
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    A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models (English)
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    12 July 2018
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    American options
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    linear complementarity problems
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    regime-switching Lévy process
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    nonlinear tempered fractional partial differential equations
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    unconditional stability
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    fast preconditioned penalty method
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