针对有跳跃的期权定价所产生的耦合时间分式积分微分方程的高效 IMEX 紧凑型方案

IF 1.9 4区 经济学 Q2 ECONOMICS Computational Economics Pub Date : 2024-06-05 DOI:10.1007/s10614-024-10642-0
Yong Chen, Liangliang Li
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An Efficient IMEX Compact Scheme for the Coupled Time Fractional Integro-Differential Equations Arising from Option Pricing with Jumps
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来源期刊
Computational Economics
Computational Economics MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-
CiteScore
4.00
自引率
15.00%
发文量
119
审稿时长
12 months
期刊介绍: Computational Economics, the official journal of the Society for Computational Economics, presents new research in a rapidly growing multidisciplinary field that uses advanced computing capabilities to understand and solve complex problems from all branches in economics. The topics of Computational Economics include computational methods in econometrics like filtering, bayesian and non-parametric approaches, markov processes and monte carlo simulation; agent based methods, machine learning, evolutionary algorithms, (neural) network modeling; computational aspects of dynamic systems, optimization, optimal control, games, equilibrium modeling; hardware and software developments, modeling languages, interfaces, symbolic processing, distributed and parallel processing
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