Xu Chen
Orcid: 0000-0002-5195-5443Affiliations:
- University of Macau, Department of Mathematics, China
According to our database1,
Xu Chen
authored at least 8 papers
between 2015 and 2021.
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Bibliography
2021
An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models.
Numer. Algorithms, 2021
2020
A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models.
Comput. Math. Appl., 2020
2019
A Robust Preconditioner for Two-dimensional Conservative Space-Fractional Diffusion Equations on Convex Domains.
J. Sci. Comput., 2019
2018
A Fast Preconditioned Penalty Method for American Options Pricing Under Regime-Switching Tempered Fractional Diffusion Models.
J. Sci. Comput., 2018
2017
A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation.
Comput. Math. Appl., 2017
2016
High order finite difference method for time-space fractional differential equations with Caputo and Riemann-Liouville derivatives.
Numer. Algorithms, 2016
2015
Circulant preconditioning technique for barrier options pricing under fractional diffusion models.
Int. J. Comput. Math., 2015