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An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models Journal article
Chen,Xu, Ding,Deng, Lei,Siu Long, Wang,Wenfei. An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models[J]. Numerical Algorithms, 2020, 87(3), 939-965.
Authors:  Chen,Xu;  Ding,Deng;  Lei,Siu Long;  Wang,Wenfei
Favorite | TC[WOS]:8 TC[Scopus]:10  IF:1.7/1.9 | Submit date：2021/03/09
Direct Method  Implicit-explicit Finite Difference Method  Multi-state European Options Pricing  Precondition  Tempered Fractional Partial Differential Equation  
Multilevel circulant preconditioner for high-dimensional fractional diffusion equations Journal article
Lei S.-L., Chen X., Zhang X.. Multilevel circulant preconditioner for high-dimensional fractional diffusion equations[J]. East Asian Journal on Applied Mathematics, 2016, 6(2), 109-130.
Authors:  Lei S.-L.;  Chen X.;  Zhang X.
Favorite | TC[WOS]:29 TC[Scopus]:29 | Submit date：2019/02/14
Gmres Method  High-dimensional Two-sided Fractional Diffusion Equation  Implicit Finite Difference Method  Multilevel Circulant Preconditioner  Unconditionally Stable