A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models
DOI10.1016/J.CAMWA.2019.07.010zbMATH Open1448.65096OpenAlexW2969874034WikidataQ127341486 ScholiaQ127341486MaRDI QIDQ2004502FDOQ2004502
Wen-Fei Wang, Deng Ding, Siu-Long Lei, Xu Chen
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
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finite difference methodpreconditionerfinite moment log stable modelrainbow options pricingtwo-dimensional fractional partial differential equation
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Cites Work
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Cited In (6)
- Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing
- Tensorized low-rank circulant preconditioners for multilevel Toeplitz linear systems from high-dimensional fractional Riesz equations
- Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps
- Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing
- Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation
- SPECTRALLY ACCURATE OPTION PRICING UNDER THE TIME-FRACTIONAL BLACK–SCHOLES MODEL
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