TY - JOUR
T1 - Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing
AU - Zhiqiang Zhou, Jingtang Ma & Xuemei Gao
JO - East Asian Journal on Applied Mathematics
VL - 4
SP - 782
EP - 808
PY - 2018
DA - 2018/10
SN - 8
DO - http://doi.org/10.4208/eajam.130218.290618
UR - https://global-sci.org/intro/article_detail/eajam/12819.html
KW - Fractional partial differential equation, option pricing
KW - regime-switching, Laplace transform method, convergence rate.
AB - <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>