Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing
Year: 2018
East Asian Journal on Applied Mathematics, Vol. 8 (2018), Iss. 4 : pp. 782–808
Abstract
Iterative Laplace transform methods for fractional partial differential equations and fractional partial integro-differential equations arising in European option pricing with the Lévy α-stable processes and regime-switching or state-dependent jump rates are studied and numerical contour integral methods to inverse the Laplace transform are developed. It is shown that the methods under consideration have the second-order convergence rate in space and spectral-order convergence for Laplace transform inversion.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/eajam.130218.290618
East Asian Journal on Applied Mathematics, Vol. 8 (2018), Iss. 4 : pp. 782–808
Published online: 2018-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 27
Keywords: Fractional partial differential equation option pricing