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A Fast Preconditioned Penalty Method for American Options Pricing Under Regime-Switching Tempered Fractional Diffusion Models Journal article
Siu-Long Lei, Wenfei Wang, Xu Chen, Deng Ding. A Fast Preconditioned Penalty Method for American Options Pricing Under Regime-Switching Tempered Fractional Diffusion Models[J]. JOURNAL OF SCIENTIFIC COMPUTING, 2017, 75(3), 1633-1655.
Authors:  Siu-Long Lei;  Wenfei Wang;  Xu Chen;  Deng Ding
Favorite | TC[WOS]:14 TC[Scopus]:14  IF:2.8/2.7 | 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  
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
Favorite | TC[WOS]:13 TC[Scopus]:13  IF:2.9/2.6 | Submit date：2019/05/22
American Options  Hamilton–jacobi–bellman Equation  Preconditioner  Tempered Fractional Derivative  Unconditional Stability  
Quadratic finite element and preconditioning methods for options pricing in the SVCJ model Journal article
Zhang Y.-Y., Pang H.-K., Feng L., Jin X.-Q.. Quadratic finite element and preconditioning methods for options pricing in the SVCJ model[J]. Journal of Computational Finance, 2014, 17(3), 3-30.
Authors:  Zhang Y.-Y.;  Pang H.-K.;  Feng L.;  Jin X.-Q.
Favorite | TC[WOS]:4 TC[Scopus]:4 | Submit date：2019/02/11
Jump Diffusion-processes  Stochastic Volatility  American Options  Returns  Systems  Assets