A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models (Q2004502)
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scientific article; zbMATH DE number 7256587
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| English | A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models |
scientific article; zbMATH DE number 7256587 |
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A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models (English)
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7 October 2020
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two-dimensional fractional partial differential equation
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rainbow options pricing
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finite difference method
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finite moment log stable model
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preconditioner
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