Circulant preconditioning technique for barrier options pricing under fractional diffusion models

Wenfei Wang, Xu Chen, Deng Ding, Siu-Long Lei. Circulant preconditioning technique for barrier options pricing under fractional diffusion models. Int. J. Comput. Math., 92(12):2596-2614, 2015. [doi]

Abstract

Abstract is missing.