Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing

DOI10.4208/EAJAM.130218.290618zbMath1462.35012OpenAlexW2899132782MaRDI QIDQ4985239

Xuemei Gao, Zhiqiang Zhou, Jingtang Ma

Publication date: 22 April 2021

Published in: East Asian Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/34eb5962243e27039cd544528989f4a73b1182fb

zbMATH Keywords

option pricingconvergence rateLaplace transform methodregime-switching

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Transform methods (e.g., integral transforms) applied to PDEs (35A22) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60) Fractional partial differential equations (35R11) Integro-partial differential equations (35R09)

Related Items (5)

Asynchronous time-parallel method based on Laplace transform ⋮ Fast Laplace transform methods for the PDE system of Parisian and Parasian option pricing ⋮ Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps ⋮ An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models ⋮ Numerical method for a system of PIDEs arising in American contingent claims under FMLS model with jump diffusion and regime-switching process

Cites Work

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• Analysis of time series subject to changes in regime
• Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
• Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A Regime-Switching Model of Long-Term Stock Returns

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