An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models
Xu Chen, Deng Ding, Siu‐Long Lei, Wenfei Wang
Topics & Concepts
MathematicsValuation of optionsApplied mathematicsFinite difference methods for option pricingBlack–Scholes modelConvergence (economics)Partial differential equationFinite differenceNumerical analysisMathematical analysisEconometricsVolatility (finance)EconomicsEconomic growthDifferential Equations and Numerical MethodsStochastic processes and financial applicationsFractional Differential Equations Solutions