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Wu, Shuang; Chou, Lot-Kei; Chen, Xu; Lei, Siu-Long

A preconditioned iterative method for coupled fractional partial differential equation in European option pricing. (English) Zbl 07919420

Open Math. 21, Article ID 20230169, 16 p. (2023).

MSC:

65M06 Finite difference methods for initial value and initial-boundary value problems involving PDEs
65N06 Finite difference methods for boundary value problems involving PDEs
65F08 Preconditioners for iterative methods
65F10 Iterative numerical methods for linear systems
15B05 Toeplitz, Cauchy, and related matrices
26A33 Fractional derivatives and integrals
35R11 Fractional partial differential equations
91G20 Derivative securities (option pricing, hedging, etc.)
91G80 Financial applications of other theories
91G60 Numerical methods (including Monte Carlo methods)
35Q91 PDEs in connection with game theory, economics, social and behavioral sciences

Keywords:

fully implicit finite difference method; preconditioner; regime-switching European option pricing; tempered fractional partial differential equation
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References:

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