Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing

DOI10.4208/EAJAM.130218.290618MaRDI QIDQ4985239zbMATH OpenOpenAlexFDO

Authors Zhiqiang Zhou, Jingtang Ma, Xuemei Gao

Publication date 22 April 2021

Published in East Asian Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/34eb5962243e27039cd544528989f4a73b1182fb

zbMATH Keywords

regime-switchingoption pricingconvergence rateLaplace transform method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (35R09) Fractional partial differential equations (35R11) PDEs with randomness, stochastic partial differential equations (35R60) Financial applications of other theories (91G80) Transform methods (e.g., integral transforms) applied to PDEs (35A22)

Recommendations

• Convergence analysis of iterative Laplace transform methods for the coupled PDEs from regime-switching option pricing
• Fast Laplace transform methods for the PDE system of Parisian and Parasian option pricing
• A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models
• On the convergence of iterative methods with applications in generalized fractional calculus
• scientific article; zbMATH DE number 6452524
• A new method for option pricing via time-fractional PDE
• On the convergence of variational iteration method for the solution of partial differential equations of fractional order
• Convergence of the variational iteration method for solving multi-order fractional differential equations
• Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models
• A fast stationary iterative method for a partial integro-differential equation in pricing options

Cites work

• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• 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
• Pricing Asian options under a hyper-exponential jump diffusion model

Cited in

(10)

• Fast Laplace transform methods for the PDE system of Parisian and Parasian option pricing
• A preconditioned iterative method for coupled fractional partial differential equation in European option pricing
• An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models
• Laplace transform methods for a free boundary problem of time-fractional partial differential equation system
• Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps
• Convergence analysis of iterative Laplace transform methods for the coupled PDEs from regime-switching option pricing
• Asynchronous time-parallel method based on Laplace transform
• Numerical approximation of option pricing model under jump diffusion using the Laplace transformation method
• Fast Laplace transform methods for free-boundary problems of fractional diffusion equations
• Numerical method for a system of PIDEs arising in American contingent claims under FMLS model with jump diffusion and regime-switching process

This page was built for publication: Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4985239)