Circulant preconditioning technique for barrier options pricing under fractional diffusion models (Q2804507)

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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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