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An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models Journal article
Numerical Algorithms, 2020
Authors:  Chen,Xu;  Ding,Deng;  Lei,Siu Long;  Wang,Wenfei
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2021/03/09
Direct method  Implicit-explicit finite difference method  Multi-state European options pricing  Precondition  Tempered fractional partial differential equation  
Fast solution algorithms for exponentially tempered fractional diffusion equations Journal article
NUMERICAL METHODS FOR PARTIAL DIFFERENTIAL EQUATIONS, 2018,Volume: 34,Issue: 4,Page: 1301-1323
Authors:  Lei, Siu-Long;  Fan, Daoying;  Chen, Xu
Favorite |  | TC[WOS]:2 TC[Scopus]:2 | Submit date:2018/10/30
Circulant And skew-Circulant Representation Of Toeplitz Inversion  Circulant Preconditioner  Fast Fourier Transform  Tempered Fractional Diffusion Equations  Toeplitz Matrix  
Fast solution algorithms for exponentially tempered fractional diffusion equations Journal article
Numerical Methods for Partial Differential Equations, 2018,Volume: 34,Issue: 4,Page: 1301-1323
Authors:  Lei,Siu Long;  Fan,Daoying;  Chen,Xu
Favorite |  | TC[WOS]:2 TC[Scopus]:2 | Submit date:2021/03/11
circulant and skew-circulant representation of Toeplitz inversion  circulant preconditioner  fast Fourier transform  tempered fractional diffusion equations  Toeplitz matrix  
A Fast Preconditioned Penalty Method for American Options Pricing Under Regime-Switching Tempered Fractional Diffusion Models Journal article
Journal of Scientific Computing, 2017,Volume: 75,Issue: 3,Page: 1633-1655
Authors:  Siu-Long Lei;  Wenfei Wang;  Xu Chen;  Deng Ding
Favorite |  | TC[WOS]:4 TC[Scopus]:4 | Submit date:2019/05/22
American Options  Fast Preconditioned Penalty Method  Linear Complementarity Problems  Nonlinear Tempered Fractional Partial Differential Equations  Regime-switching Lévy Process  Unconditional Stability  
On CSCS-based iteration method for tempered fractional diffusion equations Journal article
Japan Journal of Industrial and Applied Mathematics, 2016,Volume: 33,Issue: 3,Page: 583-597
Authors:  Qu W.;  Lei S.-L.
Favorite |  | TC[WOS]:2 TC[Scopus]:2 | Submit date:2019/02/14
Circulant And skew-Circulant Splitting Iteration  Fast Fourier Transform  Preconditioner  Tempered Fractional Diffusion Equation  Toeplitz Matrix  
On CSCS-based iteration method for tempered fractional diffusion equations Journal article
Japan Journal of Industrial and Applied Mathematics, 2016,Volume: 33,Issue: 3,Page: 583-597
Authors:  Qu,Wei;  Lei,Siu Long
Favorite |  | TC[WOS]:2 TC[Scopus]:2 | Submit date:2021/03/11
Circulant and skew-circulant splitting iteration  Fast Fourier transform  Preconditioner  Tempered fractional diffusion equation  Toeplitz matrix