A novel banded preconditioner for coupled tempered fractional diffusion equation generated from the regime-switching CGMY model-Reference-Cited by-同舟云学术

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A novel banded preconditioner for coupled tempered fractional diffusion equation generated from the regime-switching CGMY model

Published:2024-02-09 Issue: Volume: Page:
ISSN:1017-1398
Container-title:Numerical Algorithms
language:en
Short-container-title:Numer Algor

Author:

Chen Xu,Gong Xin-Xin,She Zi-Run,She Zi-Hang

Funder

National Natural Science Foundation of China

Guangdong Basic and Applied Research Foundation

Natural Science Foundation of Guangdong Provincial Department of Education

Publisher

Springer Science and Business Media LLC

Link

https://link.springer.com/content/pdf/10.1007/s11075-024-01769-0.pdf

Reference37 articles.

1. Asiimwe, P., Mahera, C.W., Menoukeu-Pamen, O.: On the price of risk under a regime switching CGMY process. Asia-Pacific Finan. Markets 23, 305 (2016)

2. Bao, J., Zhao, Y.: Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates. J. Comput. Appl. Math. 357, 146–160 (2019)

3. Bertaccini, D.: Reliable preconditioned iterative linear solvers for some numerical integrators. Numer. Linear Algebra Appl. 8, 111–125 (2001)

4. Bertaccini, D., Golub, G.H., Serra-Capizzano, S.: Spectral analysis of a preconditioned iterative method for the convection-diffusion equation. SIAM J. Matrix Anal. Appl. 29, 260–278 (2007)

5. Black, F., Scholes, M.: The pricing of options and corporate liabilities. J. Polit. Econ. 81(3), 637–654 (1973)

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