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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  
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