Preconditioned iterative methods for fractional diffusion models in finance
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Publication:3462521
DOI10.1002/num.21948zbMath1329.91141OpenAlexW2095614580MaRDI QIDQ3462521
Qing-Jiang Meng, Deng Ding, Qin Sheng
Publication date: 15 January 2016
Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/num.21948
fast Fourier transformToeplitz matrixLévy processCrank-Nicolson discretizationpreconditioning methodfractional partial derivatives
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Iterative numerical methods for linear systems (65F10)
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