Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing

@article{Zhou2018ConvergenceOI,
  title={Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing},
  author={Zhiqiang Zhou},
  journal={East Asian Journal on Applied Mathematics},
  year={2018}
}
  • Zhiqiang Zhou
  • Published 1 June 2018
  • Mathematics
  • East Asian Journal on Applied Mathematics
Iterative Laplace transform methods for fractional partial differential equations and fractional partial integro-differential equations arising in European option pricing with the Lévy α-stable processes and regime-switching or state-dependent jump rates are studied and numerical contour integral methods to inverse the Laplace transform are developed. It is shown that the methods under consideration have the second-order convergence rate in space and spectral-order convergence for Laplace… 
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