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DING DENG [1]
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2017 [1]
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英語English [1]
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COMPUTERS & MATH... [1]
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A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation
Journal article
Xu Chen, Wenfei Wang, Deng Ding, Siu-Long Lei. A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation[J]. COMPUTERS & MATHEMATICS WITH APPLICATIONS, 2017, 73(9), 1932-1944.
Authors:
Xu Chen
;
Wenfei Wang
;
Deng Ding
;
Siu-Long Lei
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2.9
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Submit date：2019/05/22
American Options
Hamilton–jacobi–bellman Equation
Preconditioner
Tempered Fractional Derivative
Unconditional Stability
