A preconditioned iterative method for coupled fractional partial differential equation in European option pricing

DOI10.1515/math-2023-0169zbMath1548.91127MaRDI QIDQ6611517

Siu-Long Lei, Shuang Wu, Xu Chen, Lot-Kei Chou

Publication date: 26 September 2024

Published in: Open Mathematics (Search for Journal in Brave)

zbMATH Keywords

preconditionertempered fractional partial differential equationfully implicit finite difference methodregime-switching European option pricing

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) Derivative securities (option pricing, hedging, etc.) (91G20) Iterative numerical methods for linear systems (65F10) 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)

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