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Total value adjustment of Bermudan option valuation under pure jump Lévy fluctuations Journal article
Chaos, 2022,Volume: 32,Issue: 2
Authors:  Yuan, Gangnan;  Ding, Deng;  Duan, Jinqiao;  Lu, Weiguo;  Wu, Fengyan
Favorite |  | TC[WOS]:1 TC[Scopus]:0 | Submit date：2022/05/17
A nonuniform L2 formula of Caputo derivative and its application to a fractional Benjamin–Bona–Mahony-type equation with nonsmooth solutions Journal article
Numerical Methods for Partial Differential Equations, 2020,Volume: 36,Issue: 3,Page: 579-600
Authors:  Lyu,Pin;  Vong,Seakweng
Favorite |  | TC[WOS]:2 TC[Scopus]:2 | Submit date：2021/03/09
Caputo Derivative  Finite Difference Scheme  Fractional Bbm-type Equation  Nonuniform Time Grid  Unconditional Convergence  
A nonuniform L2 formula of Caputo derivative and its application to a fractional Benjamin–Bona–Mahony‐type equation with nonsmooth solutions Journal article
Numerical Methods for Partial Differential Equations, 2020
Authors:  Pin, Lyu;  Seakweng, Vong
Favorite |  | TC[WOS]:0 TC[Scopus]:2 | Submit date：2022/07/01
Caputo Derivative  Finite Difference Scheme  Fractional Bbm-type Equation  Nonuniform Time Grid  Unconditional Convergence  
A linearized and second-order unconditionally convergent scheme for coupled time fractional Klein-Gordon-Schrodinger equation Journal article
NUMERICAL METHODS FOR PARTIAL DIFFERENTIAL EQUATIONS, 2018,Volume: 34,Issue: 6,Page: 2153-2179
Authors:  Lyu, Pin;  Vong, Seakweng
Favorite |  | TC[WOS]:5 TC[Scopus]:5 | Submit date：2018/10/30
Fractional Klein-gordon-schrodinger Equations  Linearized Scheme  Second-order Convergent  Unconditionally Convergent And Stable  
A Fast Preconditioned Penalty Method for American Options Pricing Under Regime-Switching Tempered Fractional Diffusion Models Journal article
Journal of Scientific Computing, 2017,Volume: 75,Issue: 3,Page: 1633-1655
Authors:  Siu-Long Lei;  Wenfei Wang;  Xu Chen;  Deng Ding
Favorite |  | TC[WOS]:5 TC[Scopus]:5 | 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  
High-order compact schemes for fractional differential equations with mixed derivatives Journal article
Numerical Methods for Partial Differential Equations, 2017,Volume: 33,Issue: 6,Page: 2141-2158
Authors:  Vong S.;  Shi C.;  Lyu P.
Favorite |  | TC[WOS]:2 TC[Scopus]:2 | Submit date：2018/12/24
Fractional Differential Equation  High-order Compact Scheme  Mixed Derivatives  
A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation Journal article
Computers and Mathematics with Applications, 2017,Volume: 73,Issue: 9,Page: 1932-1944
Authors:  Xu Chen;  Wenfei Wang;  Deng Ding;  Siu-Long Lei
Favorite |  | TC[WOS]:10 TC[Scopus]:10 | Submit date：2019/05/22
American Options  Hamilton–jacobi–bellman Equation  Preconditioner  Tempered Fractional Derivative  Unconditional Stability  
Numerical Solutions for Partial Differential Equations with Fractional Order Derivatives Project
项目类型: FDCT, 项目编号: 105/2012/A3, 2016-
Authors:  SENGFONG
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date：2022/02/16
Circulant preconditioning technique for barrier options pricing under fractional diffusion models Journal article
International Journal of Computer Mathematics, 2015,Volume: 92,Issue: 12,Page: 2596-2614
Authors:  Wenfei Wang;  Xu Chen;  Deng Ding;  Siu-Long Lei
Favorite |  | TC[WOS]:22 TC[Scopus]:24 | Submit date：2019/05/22
Barrier Options Pricing  Circulant Preconditioner  Fractional Diffusion Equations  Krylov Subspace Methods  Lévy Process  
Preconditioned iterative methods for fractional diffusion models in finance Journal article
Numerical Methods for Partial Differential Equations, 2014,Volume: 31,Issue: 5,Page: 1382-1395
Authors:  Qing-Jiang Meng;  Deng Ding;  Qin Sheng
Favorite |  | TC[WOS]:14 TC[Scopus]:16 | Submit date：2019/05/22
Crank-nicolson Discretization  Fast Fourier Transform  Fractional Partial Derivatives  Lévy Process  Preconditioning Method  Toeplitz Matrix