A Preconditioned Policy–Krylov Subspace Method for Fractional Partial Integro-Differential HJB Equations in Finance
To better simulate the prices of underlying assets and improve the accuracy of pricing financial derivatives, an increasing number of new models are being proposed. Among them, the Lévy process with jumps has received increasing attention because of its capacity to model sudden movements in asset pr...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2024-05-01
|
| Series: | Fractal and Fractional |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2504-3110/8/6/316 |