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Fourth-Order Compact Scheme with Local Mesh Refinement for Option Pricing in Jump-Diffusion Model Journal article
Spike T. Lee, Hai‐Wei Sun. Fourth-Order Compact Scheme with Local Mesh Refinement for Option Pricing in Jump-Diffusion Model[J]. Numerical Methods for Partial Differential Equations, 2012, 28(3), 1079-1098.
Authors:  Spike T. Lee;  Hai‐Wei Sun
Favorite | TC[WOS]:20 TC[Scopus]:25  IF:2.1/2.8 | Submit date：2019/07/30
Fourth-order Compact Scheme  Jump-diffusion  Local Mesh Refinement  Partial Integro-differentialequation  Toeplitz Matrix  
Boundary value methods for transient solutions of queueing networks with variant vacation policy Journal article
Chan,Raymond H., Lee,Spike T., Sun,Hai Wei. Boundary value methods for transient solutions of queueing networks with variant vacation policy[J]. Journal of Computational and Applied Mathematics, 2012, 236(16), 3948-3955.
Authors:  Chan,Raymond H.;  Lee,Spike T.;  Sun,Hai Wei
Favorite | TC[WOS]:2 TC[Scopus]:3 | Submit date：2019/05/27
Boundary Value Method  Crank-nicolson Preconditioner  Heterogeneous Servers  Queueing Systems  Variant Vacation Policy  
Fast exponential time integration scheme for option pricing with jumps Journal article
Lee,Spike T., Liu,Xin, Sun,Hai Wei. Fast exponential time integration scheme for option pricing with jumps[J]. Numerical Linear Algebra with Applications, 2012, 19(1), 87-101.
Authors:  Lee,Spike T.;  Liu,Xin;  Sun,Hai Wei
Favorite | TC[WOS]:17 TC[Scopus]:17 | Submit date：2019/05/27
Generating Function  Jump-diffusion  Option Pricing  Shift-and-invert Arnoldi Method  Toeplitz Matrix Exponential  
Boundary value methods with the Crank-Nicolson preconditioner for pricing options in the jump-diffusion model Journal article
Shu-Ling Yang, Spike T. Lee, Hai-Wei Sun. Boundary value methods with the Crank-Nicolson preconditioner for pricing options in the jump-diffusion model[J]. International Journal of Computer Mathematics, 2011, 88(8), 1730-1748.
Authors:  Shu-Ling Yang;  Spike T. Lee;  Hai-Wei Sun
Favorite | TC[WOS]:4 TC[Scopus]:4 | Submit date：2019/02/13
Boundary Value Method  Crank-nicolson Time-marching Scheme  Fourth-order Compact Scheme  Jump-diffusion  Preconditioner  Toeplitz Matrix  
Shift-invert arnoldi approximation to the toeplitz matrix exponential Journal article
Lee,Spike T., Pang,Hong Kui, Sun,Hai Wei. Shift-invert arnoldi approximation to the toeplitz matrix exponential[J]. SIAM Journal on Scientific Computing, 2010, 32(2), 774-792.
Authors:  Lee,Spike T.;  Pang,Hong Kui;  Sun,Hai Wei
Favorite | TC[WOS]:48 TC[Scopus]:49 | Submit date：2019/05/27
Krylov Subspace  Matrix Exponential  Numerical Range  Shift-invert Arnoldi Method  Toeplitz Matrix  
Fourth order compact boundary value method for option pricing with jumps Journal article
Lee,Spike T., Sun,Hai Wei. Fourth order compact boundary value method for option pricing with jumps[J]. Advances in Applied Mathematics and Mechanics, 2009, 1(6), 845-861.
Authors:  Lee,Spike T.;  Sun,Hai Wei
Favorite | TC[WOS]:9 TC[Scopus]:11 | Submit date：2019/05/27
Boundary Value Method  Fourth Order Compact Scheme  Partial Integro-differential Equation  Preconditioning  Toeplitz Matrix