Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing (Q4985239)
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scientific article; zbMATH DE number 7336737
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| English | Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing |
scientific article; zbMATH DE number 7336737 |
Statements
Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing (English)
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22 April 2021
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option pricing
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regime-switching
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Laplace transform method
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convergence rate
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0.93540144
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0.8782758
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0.87818706
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0.87327915
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0.8704147
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0.87030977
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0.8695726
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0.86907446
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