An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models

DOI10.1007/s11075-020-00994-7zbMath1476.65167OpenAlexW3082615630MaRDI QIDQ2035502

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

Publication date: 24 June 2021

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-020-00994-7

zbMATH Keywords

preconditiondirect methodimplicit-explicit finite difference methodmulti-state European options pricingtempered fractional partial differential equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Direct numerical methods for linear systems and matrix inversion (65F05) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Toeplitz, Cauchy, and related matrices (15B05) Preconditioners for iterative methods (65F08) Fractional partial differential equations (35R11)

Related Items (2)

A second-order ADI method for pricing options under fractional regime-switching models ⋮ Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing

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