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
Lévy processKrylov subspace methodsfractional diffusion equationscirculant preconditionerbarrier options pricing
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)
Related Items
Cites Work
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- A circulant preconditioner for fractional diffusion equations
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
- A comparison of numerical solutions of fractional diffusion models in finance
- Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
- Preconditioning techniques for large linear systems: A survey
- Finite difference approximations for fractional advection-dispersion flow equations
- Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
- An efficient algorithm for Bermudan barrier option pricing
- A second-order accurate numerical approximation for the fractional diffusion equation
- A finite difference method for pricing European and American options under a geometric Lévy process
- Finite difference approximations for two-sided space-fractional partial differential equations
- Efficient solution of structural default models with correlated jumps and mutual obligations
- Z-Transform and preconditioning techniques for option pricing
- Pricing Barrier and Bermudan Style Options Under Time-Changed Lévy Processes: Fast Hilbert Transform Approach
- Preconditioned iterative methods for fractional diffusion models in finance
- 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
- Conjugate Gradient Methods for Toeplitz Systems
- Financial Modelling with Jump Processes