"A fast preconditioned policy iteration method for solving the tempered ..."

Xu Chen et al. (2017)

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DOI: 10.1016/J.CAMWA.2017.02.040

access: open

type: Journal Article

metadata version: 2021-02-11

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Xu Chen, Wenfei Wang, Deng Ding, Siu-Long Lei:
A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation. Comput. Math. Appl. 73(9): 1932-1944 (2017)

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