A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models
type: Item
instance of: scholarly article
title: A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models
zbMATH Open document ID: 1448.65096
author: Xu Chen
author: Deng Ding
author: Siu-Long Lei
author: Wen-Fei Wang
publication date: 2020-10-07T00:00:00Z
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 65F08
Mathematics Subject Classification ID: 35R11
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 91G15
zbMATH DE Number: 7256587
zbMATH Keywords: two-dimensional fractional partial differential equation
zbMATH Keywords: rainbow options pricing
zbMATH Keywords: finite difference method
zbMATH Keywords: finite moment log stable model
zbMATH Keywords: preconditioner
MaRDI profile type: Publication
full work available at URL: j.camwa.2019.07.010
OpenAlex ID: W2969874034
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Wikidata QID: Q127341486
DOI: 10.1016/J.CAMWA.2019.07.010
published in: Computers & Mathematics with Applications
description: scientific article; zbMATH DE number 7256587