@Article{EAJAM-8-782,
author = {Zhiqiang Zhou, Jingtang Ma and Xuemei Gao},
title = {Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing},
journal = {East Asian Journal on Applied Mathematics},
year = {2018},
volume = {8},
number = {4},
pages = {782--808},
abstract = {<p style="text-align: justify;">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.</p>},
issn = {2079-7370},
doi = {https://doi.org/10.4208/eajam.130218.290618},
url = {http://global-sci.org/intro/article_detail/eajam/12819.html}
}