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DING DENG [1]
LEI SIU LONG [1]
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2020 [1]
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英語English [1]
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Numerical Algori... [1]
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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
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TC[WOS]:
8
TC[Scopus]:
10
IF:
1.7
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1.9
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Submit date：2021/03/09
Direct Method
Implicit-explicit Finite Difference Method
Multi-state European Options Pricing
Precondition
Tempered Fractional Partial Differential Equation
