A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models (Q1651337): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1007/s10915-017-0602-9 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2768711719 / rank | |||
Normal rank |
Revision as of 23:21, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models |
scientific article |
Statements
A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models (English)
0 references
12 July 2018
0 references
American options
0 references
linear complementarity problems
0 references
regime-switching Lévy process
0 references
nonlinear tempered fractional partial differential equations
0 references
unconditional stability
0 references
fast preconditioned penalty method
0 references