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DING DENG [1]
LEI SIU LONG [1]
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Journal article [1]
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2015 [1]
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英語English [1]
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INTERNATIONAL JO... [1]
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Circulant preconditioning technique for barrier options pricing under fractional diffusion models
Journal article
Wenfei Wang, Xu Chen, Deng Ding, Siu-Long Lei. Circulant preconditioning technique for barrier options pricing under fractional diffusion models[J]. INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2015, 92(12), 2596-2614.
Authors:
Wenfei Wang
;
Xu Chen
;
Deng Ding
;
Siu-Long Lei
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TC[WOS]:
29
TC[Scopus]:
31
IF:
1.7
/
1.5
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Submit date：2019/05/22
Barrier Options Pricing
Circulant Preconditioner
Fractional Diffusion Equations
Krylov Subspace Methods
Lévy Process
