A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models (Q1651337)
From MaRDI portal
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
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
