A novel banded preconditioner for coupled tempered fractional diffusion equation generated from the regime-switching CGMY model
DOI10.1007/s11075-024-01769-0MaRDI QIDQ6653272
Zi-Run She, Xu Chen, Xinxin Gong, Zi-Hang She
Publication date: 16 December 2024
Published in: Numerical Algorithms (Search for Journal in Brave)
regime-switchingCGMY modelbanded preconditionertempered fractional partial differential equationEuropean options pricing
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Numerical computation of solutions to systems of equations (65H10) Fractional derivatives and integrals (26A33) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical computation of matrix norms, conditioning, scaling (65F35) Finite difference methods for boundary value problems involving PDEs (65N06) 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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