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A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models Journal article
Computers and Mathematics with Applications, 2020,Volume: 79,Issue: 2,Page: 440-456
Authors:  Chen,Xu;  Ding,Deng;  Lei,Siu Long;  Wang,Wenfei
Favorite |  | TC[WOS]:2 TC[Scopus]:1 | Submit date:2021/03/09
Finite Difference Method  Finite Moment Log Stable Model  Preconditioner  Rainbow Options Pricing  Two-dimensional Fractional Partial Differential Equation  
Circulant preconditioning technique for barrier options pricing under fractional diffusion models Journal article
International Journal of Computer Mathematics, 2015,Volume: 92,Issue: 12,Page: 2596-2614
Authors:  Wenfei Wang;  Xu Chen;  Deng Ding;  Siu-Long Lei
Favorite |  | TC[WOS]:21 TC[Scopus]:23 | Submit date:2019/05/22
Barrier Options Pricing  Circulant Preconditioner  Fractional Diffusion Equations  Krylov Subspace Methods  Lévy Process