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A Preconditioned Policy–Krylov Subspace Method for Fractional Partial Integro-Differential HJB Equations in Finance Journal article
Chen, Xu, Gong, Xin Xin, Sun, Youfa, Lei, Siu Long. A Preconditioned Policy–Krylov Subspace Method for Fractional Partial Integro-Differential HJB Equations in Finance[J]. Fractal and Fractional, 2024, 8(6), 316.
Authors:  Chen, Xu;  Gong, Xin Xin;  Sun, Youfa;  Lei, Siu Long
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:3.6/3.5 | Submit date：2024/07/04
American Option Pricing  Banded Preconditioner  Fractional Partial Integro-differential Equation  Stability  Stock Loan  
Tri-diagonal preconditioner for pricing options Journal article
Pang H.-K., Zhang Y.-Y., Jin X.-Q.. Tri-diagonal preconditioner for pricing options[J]. Journal of Computational and Applied Mathematics, 2012, 236(17), 4365-4374.
Authors:  Pang H.-K.;  Zhang Y.-Y.;  Jin X.-Q.
Favorite | TC[WOS]:1 TC[Scopus]:1 | Submit date：2019/02/11
European Call Option  Family Of Generating Functions  Nonsymmetric Toeplitz System  Normalized Preconditioned System  Partial Integro-differential Equation  Tri-diagonal Preconditioner  
Fourth-order compact scheme with local mesh refinement for option pricing in jump-diffusion model Journal article
Lee S.T., Sun H.-W.. Fourth-order compact scheme with local mesh refinement for option pricing in jump-diffusion model[J]. Numerical Methods for Partial Differential Equations, 2012, 28(3), 1079-1098.
Authors:  Lee S.T.;  Sun H.-W.
Favorite | TC[WOS]:20 TC[Scopus]:25 | Submit date：2019/02/13
Fourth-order Compact Scheme  Jump-diffusion  Local Mesh Refinement  Partial Integro-differential Equation  Toeplitz Matrix  
Circulant preconditioners for pricing options Conference paper
Pang H.-K., Zhang Y.-Y., Vong S.-W., Jin X.-Q.. Circulant preconditioners for pricing options[C], 2011, 2325-2342.
Authors:  Pang H.-K.;  Zhang Y.-Y.;  Vong S.-W.;  Jin X.-Q.
Favorite | TC[WOS]:3 TC[Scopus]:3 | Submit date：2018/12/24
European Call Option  Family Of Generating Functions  Nonsymmetric Toeplitz System  Normalized Preconditioned System  Partial Integro-differential Equation  Strang's Circulant Preconditioner  
Tri-diagonal preconditioner for Toeplitz systems from finance Journal article
Pang H.-K., Zhang Y.-Y., Jin X.-Q.. Tri-diagonal preconditioner for Toeplitz systems from finance[J]. East Asian Journal on Applied Mathematics, 2011, 1(1), 82-88.
Authors:  Pang H.-K.;  Zhang Y.-Y.;  Jin X.-Q.
Favorite | TC[WOS]:0 TC[Scopus]:2 | Submit date：2019/02/11
European Call Option  Nonsymmetric Toeplitz System  Normalized Preconditioned System (Matrix)  Partial Integro-differential Equation  Tri-diagonal Preconditioner  
Circulant preconditioners for pricing options Journal article
Hong-KuiPang, Ying-Ying Zhang, Seak-Weng Vong, Xiao-QingJin. Circulant preconditioners for pricing options[J]. Linear Algebra and its Applications, 2010, 434(11), 2325-2342.
Authors:  Hong-KuiPang;  Ying-Ying Zhang;  Seak-Weng Vong;  Xiao-QingJin
Favorite | TC[WOS]:3 TC[Scopus]:3  IF:1.0/1.1 | Submit date：2019/07/30
European Call Option  Nonsymmetric Toeplitz System  Normalized Preconditioned System  Strang’s Circulant Preconditioner  Family Of Generating Functions  Partial Integro-differential Equation  
Fourth order compact boundary value method for option pricing with jumps Journal article
Lee,Spike T., Sun,Hai Wei. Fourth order compact boundary value method for option pricing with jumps[J]. Advances in Applied Mathematics and Mechanics, 2009, 1(6), 845-861.
Authors:  Lee,Spike T.;  Sun,Hai Wei
Favorite | TC[WOS]:9 TC[Scopus]:11 | Submit date：2019/05/27
Boundary Value Method  Fourth Order Compact Scheme  Partial Integro-differential Equation  Preconditioning  Toeplitz Matrix