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A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation Journal article
Computers and Mathematics with Applications, 2017,Volume: 73,Issue: 9,Page: 1932-1944
Authors:  Xu Chen;  Wenfei Wang;  Deng Ding;  Siu-Long Lei
Favorite |  | TC[WOS]:6 TC[Scopus]:7 | Submit date:2019/05/22
American Options  Hamilton–jacobi–bellman Equation  Preconditioner  Tempered Fractional Derivative  Unconditional Stability