Preconditioned iterative methods for fractional diffusion models in finance
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Cites work
- scientific article; zbMATH DE number 5145313 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- scientific article; zbMATH DE number 3223982 (Why is no real title available?)
- A comparison of numerical solutions of fractional diffusion models in finance
- A direct \(O(N \log ^{2} N)\) finite difference method for fractional diffusion equations
- A fully adaptive approximation for quenching‐type reaction‐diffusion equations over circular domains
- A second-order accurate numerical approximation for the fractional diffusion equation
- An Introduction to Iterative Toeplitz Solvers
- An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
- Finite difference approximations for two-sided space-fractional partial differential equations
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Preconditioned iterative methods for fractional diffusion equation
- Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
- The Mathematics of Financial Derivatives
- The pricing of options and corporate liabilities
Cited in
(18)- Design and analysis of a dissipative scheme to solve a generalized multi-dimensional Higgs boson equation in the de Sitter space-time
- Preconditioned iterative methods for fractional diffusion equation
- Finite element method for drifted space fractional tempered diffusion equation
- Numerical simulations of multilingual competition dynamics with nonlocal derivative
- A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models
- A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation
- Finite-time synchronization analysis for the generalized Caputo fractional spatio-temporal neural networks
- An exploration of a balanced up-downwind scheme for solving Heston volatility model equations on variable grids
- Numerical simulation of a fractional Davey–Stewartson model via a conservative scheme: preservation of mass, energy and momenta
- Circulant preconditioning technique for barrier options pricing under fractional diffusion models
- An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models
- A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models
- A comparison of numerical solutions of fractional diffusion models in finance
- An easy-to-implement parallel algorithm to simulate complex instabilities in three-dimensional (fractional) hyperbolic systems
- Fourier spectral exponential time differencing methods for multi-dimensional space-fractional reaction-diffusion equations
- A parallelized computational model for multidimensional systems of coupled nonlinear fractional hyperbolic equations
- On the solution of a generalized Higgs boson equation in the de Sitter space-time through an efficient and Hamiltonian scheme
- A novel banded preconditioner for coupled tempered fractional diffusion equation generated from the regime-switching CGMY model
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