报告人：陈旭博士 （广东工业大学）

报告时间： 2020年11月19日下午15：00

报告地点：腾讯会议（会议ID：162 962 063）

报告摘要：

Recently, fractional partial differential equations have been widely applied in options pricing problems, which better explain many important empirical facts of financial markets, but rare paper considers the multi-state options pricing problem based on fractional diffusion models. Thus, multi-state European options pricing problem under regime-switching tempered fractional partial differential equation is considered in this paper. Due to the expensive computational cost caused by the implicit finite difference scheme, a novel implicit-explicit finite difference scheme has been developed with consistency, stability and convergence guarantee. Since the resulting coefficient matrix equals to the direct sum of several Toeplitz matrices, a preconditioned direct method has been proposed with O(SN log N+S^2 N) operation cost on each time levels with adaptability analysis, where S is the number of states and N is the number of grid points. Related numerical experiments including an empirical example have been presented to demonstrate the effectiveness and accuracy of the proposed numerical method.

报告人简介：

陈旭，广东工业大学金融系一级讲师，广东工业大学“青年百人”计划引进人才。本科就读于汕头大学应用数学（金融方向）专业，博士就读于澳门大学计算数学专业。主要研究领域为分数阶偏微分方程数值解、数值线性代数和金融衍生品定价算法。目前在J. Sci. Comput., Comput. Math. Appl.等SCI/EI检索杂志累计发表论文十余篇。