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DING DENG [1]
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Journal article [1]
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2017 [1]
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英語English [1]
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JOURNAL OF SCIEN... [1]
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A Fast Preconditioned Penalty Method for American Options Pricing Under Regime-Switching Tempered Fractional Diffusion Models
Journal article
Siu-Long Lei, Wenfei Wang, Xu Chen, Deng Ding. A Fast Preconditioned Penalty Method for American Options Pricing Under Regime-Switching Tempered Fractional Diffusion Models[J]. JOURNAL OF SCIENTIFIC COMPUTING, 2017, 75(3), 1633-1655.
Authors:
Siu-Long Lei
;
Wenfei Wang
;
Xu Chen
;
Deng Ding
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TC[WOS]:
14
TC[Scopus]:
14
IF:
2.8
/
2.7
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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
