Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing
DOI10.4208/EAJAM.130218.290618zbMATH Open1462.35012OpenAlexW2899132782MaRDI QIDQ4985239FDOQ4985239
Xuemei Gao, Zhiqiang Zhou, Jingtang Ma
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
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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)
Cites Work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Title not available (Why is that?)
- Pricing Asian options under a hyper-exponential jump diffusion model
- Analysis of time series subject to changes in regime
- A Regime-Switching Model of Long-Term Stock Returns
- Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
Cited In (6)
- Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps
- 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
- Numerical method for a system of PIDEs arising in American contingent claims under FMLS model with jump diffusion and regime-switching process
- Asynchronous time-parallel method based on Laplace transform
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