A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models (Q1651337)
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scientific article; zbMATH DE number 6902241
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models |
scientific article; zbMATH DE number 6902241 |
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A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models (English)
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12 July 2018
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American options
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linear complementarity problems
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regime-switching Lévy process
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nonlinear tempered fractional partial differential equations
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unconditional stability
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fast preconditioned penalty method
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