Circulant preconditioning technique for barrier options pricing under fractional diffusion models

DOI10.1080/00207160.2015.1077948MaRDI QIDQ2804507zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Krylov subspace methodsfractional diffusion equationscirculant preconditionerbarrier options pricingLévy process

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 2118874 (Why is no real title available?)
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• PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
• Preconditioned iterative methods for fractional diffusion models in finance
• Preconditioning techniques for large linear systems: A survey
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• The pricing of options and corporate liabilities
• Toeplitz Equations by Conjugate Gradients with Circulant Preconditioner
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Cited in

(26)

• PCG method with Strang's circulant preconditioner for Hermitian positive definite linear system in Riesz space fractional advection-dispersion equations
• A class of fourth-order Padé schemes for fractional exotic options pricing model
• Stability analysis of spline collocation methods for fractional differential equations
• Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps
• 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 cubic spline interpolation based numerical method for fractional differential equations
• 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
• Fast ADI method for high dimensional fractional diffusion equations in conservative form with preconditioned strategy
• Banded $M$-Matrix Splitting Preconditioner for Riesz Space Fractional Reaction-Dispersion Equation
• Fourier spectral exponential time differencing methods for multi-dimensional space-fractional reaction-diffusion equations
• A fast numerical method for block lower triangular Toeplitz with dense Toeplitz blocks system with applications to time-space fractional diffusion equations
• A fast preconditioning strategy for QSC-CN scheme of space fractional diffusion equations and its spectral analysis
• 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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