Fast Laplace transform methods for free-boundary problems of fractional diffusion equations

DOI10.1007/s10915-017-0423-xzbMath1381.35184OpenAlexW2600790029MaRDI QIDQ1703050

Zhiqiang Zhou, Jingtang Ma, Hai-Wei Sun

Publication date: 1 March 2018

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10915-017-0423-x

zbMATH Keywords

American option pricingToeplitz matrixfractional diffusion equationsfree-boundary problemsLaplace transform methodshyperbola contour integral

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Iterative numerical methods for linear systems (65F10) Boundary value problems for PDEs with pseudodifferential operators (35S15) Numerical methods for discrete and fast Fourier transforms (65T50) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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