A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models

DOI10.1007/s10915-017-0602-9zbMath1406.91484OpenAlexW2768711719MaRDI QIDQ1651337

Xu Chen, Deng Ding, Siu-Long Lei, Wen-Fei Wang

Publication date: 12 July 2018

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10915-017-0602-9

zbMATH Keywords

unconditional stabilityAmerican optionslinear complementarity problemsregime-switching Lévy processfast preconditioned penalty methodnonlinear tempered fractional partial differential equations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Fractional derivatives and integrals (26A33) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50) Preconditioners for iterative methods (65F08)

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