Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing
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Transform methods (e.g., integral transforms) applied to PDEs (35A22) Integro-partial differential equations (35R09) Fractional partial differential equations (35R11) PDEs with randomness, stochastic partial differential equations (35R60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)
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Cites work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A Regime-Switching Model of Long-Term Stock Returns
- Analysis of time series subject to changes in regime
- Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
- scientific article; zbMATH DE number 722978 (Why is no real title available?)
- Pricing Asian options under a hyper-exponential jump diffusion model
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- An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models
- Numerical method for a system of PIDEs arising in American contingent claims under FMLS model with jump diffusion and regime-switching process
- Fast Laplace transform methods for the PDE system of Parisian and Parasian option pricing
- Laplace transform methods for a free boundary problem of time-fractional partial differential equation system
- Numerical approximation of option pricing model under jump diffusion using the Laplace transformation method
- Asynchronous time-parallel method based on Laplace transform
- Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps
- A preconditioned iterative method for coupled fractional partial differential equation in European option pricing
- American call option pricing under the KoBoL model with Poisson jumps
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