Circulant preconditioning technique for barrier options pricing under fractional diffusion models (Q2804507)
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scientific article; zbMATH DE number 6575436
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| English | Circulant preconditioning technique for barrier options pricing under fractional diffusion models |
scientific article; zbMATH DE number 6575436 |
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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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0.8269079327583313
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0.8079607486724854
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0.8061360716819763
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