A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models

DOI10.1016/j.camwa.2019.07.010zbMath1448.65096OpenAlexW2969874034WikidataQ127341486 ScholiaQ127341486MaRDI QIDQ2004502

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

Publication date: 7 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2019.07.010

zbMATH Keywords

finite difference methodpreconditionerfinite moment log stable modelrainbow options pricingtwo-dimensional fractional partial differential equation

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Interest rates, asset pricing, etc. (stochastic models) (91G30) Preconditioners for iterative methods (65F08) Fractional partial differential equations (35R11) Financial markets (91G15)

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