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DING DENG [1]
LEI SIU LONG [1]
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2020 [1]
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A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models
Journal article
Chen,Xu, Ding,Deng, Lei,Siu Long, Wang,Wenfei. A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models[J]. Computers and Mathematics with Applications, 2020, 79(2), 440-456.
Authors:
Chen,Xu
;
Ding,Deng
;
Lei,Siu Long
;
Wang,Wenfei
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TC[WOS]:
4
TC[Scopus]:
4
IF:
2.9
/
2.6
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Submit date：2021/03/09
Finite Difference Method
Finite Moment Log Stable Model
Preconditioner
Rainbow Options Pricing
Two-dimensional Fractional Partial Differential Equation
