Preconditioned iterative methods for fractional diffusion models in finance-Reference-Cited by-同舟云学术

Preconditioned iterative methods for fractional diffusion models in finance

Published:2014-12-16 Issue:5 Volume:31 Page:1382-1395
ISSN:0749-159X
Container-title:Numerical Methods for Partial Differential Equations
language:en
Short-container-title:Numer. Methods Partial Differential Eq.

Author:

Meng Qing-Jiang¹,Ding Deng²,Sheng Qin³

Affiliation:

1. Post-Doctoral Research Center; China Investment Securities; Shenzhen China

2. Department of Mathematics; University of Macau; Macao China

3. Department of Mathematics and Center for Astrophysics, Space Physics and Engineering Research; Baylor University; Waco Texas 76798-7328 USA

Publisher

Wiley

Subject

Applied Mathematics,Computational Mathematics,Numerical Analysis,Analysis

Reference26 articles.

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2. Theory of rational option pricing;Merton;Bell J Finan Econ Manage Sci,1973

3. The Mathematics of Financial Derivatives

4. Lévy Processes in Finance

5. An efficient ETD method for pricing American options under stochastic volatility with non-smooth payoffs;Yousuf;Numer Methods Partial Differential Equations,2013

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