Circulant preconditioning technique for barrier options pricing under fractional diffusion models

DOI10.1080/00207160.2015.1077948zbMath1337.91130OpenAlexW1865708560MaRDI QIDQ2804507

Siu-Long Lei, Xu Chen, Deng Ding, 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

zbMATH Keywords

Lévy processKrylov subspace methodsfractional diffusion equationscirculant preconditionerbarrier options pricing

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) 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) Derivative securities (option pricing, hedging, etc.) (91G20) Iterative numerical methods for linear systems (65F10) Preconditioners for iterative methods (65F08) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)

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