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An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models Journal article
Chen,Xu, Ding,Deng, Lei,Siu Long, Wang,Wenfei. An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models[J]. Numerical Algorithms, 2020, 87(3), 939-965.
Authors:  Chen,Xu;  Ding,Deng;  Lei,Siu Long;  Wang,Wenfei
Favorite | TC[WOS]:8 TC[Scopus]:10  IF:1.7/1.9 | Submit date：2021/03/09
Direct Method  Implicit-explicit Finite Difference Method  Multi-state European Options Pricing  Precondition  Tempered Fractional Partial Differential Equation  
A regression-based numerical scheme for backward stochastic differential equations Journal article
Deng DING, Yiqi Liu. A regression-based numerical scheme for backward stochastic differential equations[J]. COMPUTATIONAL STATISTICS, 2017, 32(4), 1357-1373.
Authors:  Deng DING;  Yiqi Liu
Favorite | TC[WOS]:3 TC[Scopus]:3  IF:1.0/1.3 | Submit date：2019/07/23
Characteristic Functions  Least-squares Regressions  Monte Carlo Methods  European Options