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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  
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
Favorite | TC[WOS]:29 TC[Scopus]:31  IF:1.7/1.5 | Submit date：2019/05/22
Barrier Options Pricing  Circulant Preconditioner  Fractional Diffusion Equations  Krylov Subspace Methods  Lévy Process  
Gradient estimates for SDEs driven by multiplicative Lévy noise Journal article
Feng-YuWang, Lihu Xu, Xicheng Zhang. Gradient estimates for SDEs driven by multiplicative Lévy noise[J]. Journal of Functional Analysis, 2015, 269(10), 3195.
Authors:  Feng-YuWang;  Lihu Xu;  Xicheng Zhang
Favorite | TC[WOS]:29 TC[Scopus]:32  IF:1.7/1.9 | Submit date：2018/10/30
Derivative Formula  Gradient Estimate  Lévy Process  Time-change  
Preconditioned iterative methods for fractional diffusion models in finance Journal article
Qing-Jiang Meng, Deng Ding, Qin Sheng. Preconditioned iterative methods for fractional diffusion models in finance[J]. NUMERICAL METHODS FOR PARTIAL DIFFERENTIAL EQUATIONS, 2014, 31(5), 1382-1395.
Authors:  Qing-Jiang Meng;  Deng Ding;  Qin Sheng
Favorite | TC[WOS]:18 TC[Scopus]:21  IF:2.1/2.8 | Submit date：2019/05/22
Crank-nicolson Discretization  Fast Fourier Transform  Fractional Partial Derivatives  Lévy Process  Preconditioning Method  Toeplitz Matrix