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A Fast Preconditioned Penalty Method for American Options Pricing Under Regime-Switching Tempered Fractional Diffusion Models

Crossref DOI link: https://doi.org/10.1007/s10915-017-0602-9

Published Online: 2017-11-21

Published Print: 2018-06

Update policy: https://doi.org/10.1007/springer_crossmark_policy

Authors

Lei, Siu-Long

Wang, Wenfei

Chen, Xu

Ding, Deng
Funding

Funding for this research was provided by:

University of Macau (MYRG2016-00202-FST)

FDCT of Macao (048/2017/A)

University of Macau (MYRG068(Y4-L2)-FST13-DD)

FDCT of Macao (081/2016/A2)
License Information

License valid from 2017-11-21