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An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models Journal article
Numerical Algorithms, 2021,Volume: 87,Issue: 3,Page: 939-965
Authors:  Chen,Xu;  Ding,Deng;  Lei,Siu Long;  Wang,Wenfei
Favorite |  | TC[WOS]:2 TC[Scopus]:2 | Submit date:2021/03/09
Direct Method  Implicit-explicit Finite Difference Method  Multi-state European Options Pricing  Precondition  Tempered Fractional Partial Differential Equation  
An Efficient Second‑Order Convergent Scheme for One‑Side Space Fractional Diffusion Equations with Variable Coefficients Journal article
Communications on Applied Mathematics and Computation, 2020,Volume: 2,Issue: 2,Page: 215--239
Authors:  Lin Xuelei;  Lyu Pin;  Michael K. Ng;  Sun HW(孫海衛);  Seak Weng Vong
Adobe PDF | Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2022/07/28
One-side Space Fractional Diffusion Equation  Variable Diffusion Coefficients  Stability And Convergence  High-order Finite-difference Scheme  Preconditioner