A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models (Q2004502)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models |
scientific article |
Statements
A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models (English)
0 references
7 October 2020
0 references
two-dimensional fractional partial differential equation
0 references
rainbow options pricing
0 references
finite difference method
0 references
finite moment log stable model
0 references
preconditioner
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
