A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models

DOI10.1016/J.CAMWA.2019.07.010MaRDI QIDQ2004502zbMATH OpenOpenAlexWikidataFDO

Authors Xu Chen, Deng Ding, Siu-Long Lei, Wen-Fei Wang

Publication date 7 October 2020

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2019.07.010

zbMATH Keywords

finite difference methodfinite moment log stable modelpreconditionerrainbow options pricingtwo-dimensional fractional partial differential equation

Mathematics Subject Classification ID

Fractional partial differential equations (35R11) Preconditioners for iterative methods (65F08) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Financial markets (91G15) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(15)

• A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models
• An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models
• Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation
• Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing
• A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation
• Tensorized low-rank circulant preconditioners for multilevel Toeplitz linear systems from high-dimensional fractional Riesz equations
• Circulant preconditioning technique for barrier options pricing under fractional diffusion models
• Fast and efficient numerical methods for an extended Black-Scholes model
• Preconditioned iterative methods for fractional diffusion models in finance
• Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing
• An integration preconditioning method for solving option pricing problems
• Spectrally accurate option pricing under the time-fractional Black-Scholes model
• Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps
• A preconditioned iterative method for coupled fractional partial differential equation in European option pricing
• American call option pricing under the KoBoL model with Poisson jumps

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