Circulant preconditioning technique for barrier options pricing under fractional diffusion models.
Wenfei WangXu ChenDeng DingSiu-Long LeiPublished in: Int. J. Comput. Math. (2015)
Keyphrases
- diffusion models
- iterative methods
- option pricing
- black scholes model
- double exponential
- diffusion model
- information diffusion
- social networks
- viral marketing
- least squares
- influence maximization
- anisotropic diffusion
- primal dual
- user profiles
- medical images
- higher order
- worst case
- objective function
- image sequences
- website
- computer vision