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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  
Circulant preconditioners for a kind of spatial fractional diffusion equations Journal article
Numerical Algorithms, 2019,Volume: 82,Issue: 2,Page: 729-747
Authors:  Zhi-Wei Fang;  Michael K. Ng;  Hai-Wei Sun
Favorite |  | TC[WOS]:5 TC[Scopus]:7 | Submit date:2019/08/09
Fractional Diffusion Equation  Fast Fourier Transform  Krylov Subspace Methods  Toeplitz Matrix  Circulant Preconditioner  
High order finite difference method for time-space fractional differential equations with Caputo and Riemann-Liouville derivatives Journal article
Numerical Algorithms, 2016,Volume: 72,Issue: 1,Page: 195
Authors:  Vong S.;  Lyu P.;  Chen X.;  Lei S.-L.
Favorite |  | TC[WOS]:50 TC[Scopus]:51 | Submit date:2018/10/30
Discrete Energy Method  High Order Difference Scheme  Preconditioned Gmres Method  Two-dimensional Fractional Differential Equation