scholarly journals Pricing American options using a space-time adaptive finite difference method

2010 ◽  
Vol 80 (9) ◽  
pp. 1922-1935 ◽  
Author(s):  
Jonas Persson ◽  
Lina von Sydow
Keyword(s):  
Finite Difference ◽  
Finite Difference Method ◽  
Difference Method ◽  
American Options ◽  
Space Time

A preconditioned fast finite difference method for space-time fractional partial differential equations

2017 ◽  
Vol 20 (1) ◽  
Author(s):  
Hongfei fu ◽  
Hong Wang
Keyword(s):  
Finite Difference ◽  
Finite Difference Method ◽  
Difference Method ◽  
Numerical Scheme ◽  
Mathematical Structure ◽  
Space Time ◽  
Optimal Order ◽  
Conservation Property ◽  
Long Time ◽  
The Stability

AbstractWe develop a fast space-time finite difference method for space-time fractional diffusion equations by fully utilizing the mathematical structure of the scheme. A circulant block preconditioner is proposed to further reduce the computational costs. The method has optimal-order memory requirement and approximately linear computational complexity. The method is not lossy, as no compression of the underlying numerical scheme has been employed. Consequently, the method retains the stability, accuracy, and, in particular, the conservation property of the underlying numerical scheme. Numerical experiments are presented to show the efficiency and capacity of long time modelling of the new method.

scholarly journals Space–time adaptive finite difference method for European multi-asset options

2007 ◽  
Vol 53 (8) ◽  
pp. 1159-1180 ◽  
Author(s):  
Per Lötstedt ◽  
Jonas Persson ◽  
Lina von Sydow ◽  
Johan Tysk
Keyword(s):  
Finite Difference ◽  
Finite Difference Method ◽  
Difference Method ◽  
Space Time
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