Circulant preconditioning technique for barrier options pricing under fractional diffusion models
DOI10.1080/00207160.2015.1077948zbMATH Open1337.91130OpenAlexW1865708560MaRDI QIDQ2804507FDOQ2804507
Authors: Xu Chen, Deng Ding, Siu-Long Lei, Wen-Fei Wang 
Publication date: 29 April 2016
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2015.1077948
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Krylov subspace methodsfractional diffusion equationscirculant preconditionerbarrier options pricingLévy process
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Preconditioners for iterative methods (65F08) Iterative numerical methods for linear systems (65F10) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)
Cites Work
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- PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
- Toeplitz Equations by Conjugate Gradients with Circulant Preconditioner
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- A finite difference method for pricing European and American options under a geometric Lévy process
- Preconditioned iterative methods for fractional diffusion models in finance
- On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
- An efficient algorithm for Bermudan barrier option pricing
- Efficient solution of structural default models with correlated jumps and mutual obligations
- Pricing barrier and Bermudan style options under time-changed Lévy processes: fast Hilbert transform approach
- Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
Cited In (26)
- PCG method with Strang's circulant preconditioner for Hermitian positive definite linear system in Riesz space fractional advection-dispersion equations
- Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps
- A class of fourth-order Padé schemes for fractional exotic options pricing model
- Stability analysis of spline collocation methods for fractional differential equations
- A cubic spline interpolation based numerical method for fractional differential equations
- Stability and convergence of the Crank-Nicolson scheme for a class of variable-coefficient tempered fractional diffusion equations
- 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
- Implicit-explicit difference schemes for nonlinear fractional differential equations with nonsmooth solutions
- A preconditioning technique for all-at-once system from the nonlinear tempered fractional diffusion equation
- Fast direct solver for CN-ADI-FV scheme to two-dimensional Riesz space-fractional diffusion equations
- Preconditioned iterative methods for fractional diffusion models in finance
- Tensor-train format solution with preconditioned iterative method for high dimensional time-dependent space-fractional diffusion equations with error analysis
- 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
- Banded $M$-Matrix Splitting Preconditioner for Riesz Space Fractional Reaction-Dispersion Equation
- Fast ADI method for high dimensional fractional diffusion equations in conservative form with preconditioned strategy
- Fourier spectral exponential time differencing methods for multi-dimensional space-fractional reaction-diffusion equations
- A fast preconditioning strategy for QSC-CN scheme of space fractional diffusion equations and its spectral analysis
- A fast numerical method for block lower triangular Toeplitz with dense Toeplitz blocks system with applications to time-space fractional diffusion equations
- A novel banded preconditioner for coupled tempered fractional diffusion equation generated from the regime-switching CGMY model
- A novel Crank-Nicolson finite volume method for Riesz space fractional advection-diffusion equations
- Fast numerical simulation of a new time-space fractional option pricing model governing European call option
- A fractional Adams-Simpson-type method for nonlinear fractional ordinary differential equations with non-smooth data
- The implicit midpoint method for Riesz tempered fractional diffusion equation with a nonlinear source term
- On CSCS-based iteration method for tempered fractional diffusion equations
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