{"id":"https://openalex.org/W2768711719","doi":"https://doi.org/10.1007/s10915-017-0602-9","title":"A Fast Preconditioned Penalty Method for American Options Pricing Under Regime-Switching Tempered Fractional Diffusion Models","display_name":"A Fast Preconditioned Penalty Method for American Options Pricing Under Regime-Switching Tempered Fractional Diffusion Models","publication_year":2017,"publication_date":"2017-11-21","ids":{"openalex":"https://openalex.org/W2768711719","doi":"https://doi.org/10.1007/s10915-017-0602-9","mag":"2768711719"},"language":"en","primary_location":{"id":"doi:10.1007/s10915-017-0602-9","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10915-017-0602-9","pdf_url":null,"source":{"id":"https://openalex.org/S151550017","display_name":"Journal of Scientific Computing","issn_l":"0885-7474","issn":["0885-7474","1573-7691"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Scientific Computing","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5081835480","display_name":"Siu\u2010Long Lei","orcid":"https://orcid.org/0009-0009-1605-4314"},"institutions":[{"id":"https://openalex.org/I204512498","display_name":"University of Macau","ror":"https://ror.org/01r4q9n85","country_code":"MO","type":"education","lineage":["https://openalex.org/I204512498"]}],"countries":["MO"],"is_corresponding":false,"raw_author_name":"Siu-Long Lei","raw_affiliation_strings":["Department of Mathematics, University of Macau, Macau, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, University of Macau, Macau, China","institution_ids":["https://openalex.org/I204512498"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5112841131","display_name":"Wenfei Wang","orcid":"https://orcid.org/0000-0001-8048-724X"},"institutions":[{"id":"https://openalex.org/I204512498","display_name":"University of Macau","ror":"https://ror.org/01r4q9n85","country_code":"MO","type":"education","lineage":["https://openalex.org/I204512498"]}],"countries":["MO"],"is_corresponding":false,"raw_author_name":"Wenfei Wang","raw_affiliation_strings":["Department of Mathematics, University of Macau, Macau, China","Shenwan Hongyuan Securities Postdoctoral Research Station, Shanghai, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, University of Macau, Macau, China","institution_ids":["https://openalex.org/I204512498"]},{"raw_affiliation_string":"Shenwan Hongyuan Securities Postdoctoral Research Station, Shanghai, China","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100385738","display_name":"Xu Chen","orcid":"https://orcid.org/0000-0002-8466-7288"},"institutions":[{"id":"https://openalex.org/I204512498","display_name":"University of Macau","ror":"https://ror.org/01r4q9n85","country_code":"MO","type":"education","lineage":["https://openalex.org/I204512498"]}],"countries":["MO"],"is_corresponding":false,"raw_author_name":"Xu Chen","raw_affiliation_strings":["Department of Mathematics, University of Macau, Macau, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, University of Macau, Macau, China","institution_ids":["https://openalex.org/I204512498"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5100956096","display_name":"Deng Ding","orcid":null},"institutions":[{"id":"https://openalex.org/I204512498","display_name":"University of Macau","ror":"https://ror.org/01r4q9n85","country_code":"MO","type":"education","lineage":["https://openalex.org/I204512498"]}],"countries":["MO"],"is_corresponding":false,"raw_author_name":"Deng Ding","raw_affiliation_strings":["Department of Mathematics, University of Macau, Macau, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, University of Macau, Macau, China","institution_ids":["https://openalex.org/I204512498"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":2.4901,"has_fulltext":false,"cited_by_count":25,"citation_normalized_percentile":{"value":0.9016619,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"75","issue":"3","first_page":"1633","last_page":"1655"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.998199999332428,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.998199999332428,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12727","display_name":"Differential Equations and Numerical Methods","score":0.9965000152587891,"subfield":{"id":"https://openalex.org/subfields/2612","display_name":"Numerical Analysis"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T12100","display_name":"Advanced Mathematical Modeling in Engineering","score":0.9941999912261963,"subfield":{"id":"https://openalex.org/subfields/1703","display_name":"Computational Theory and Mathematics"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7389041185379028},{"id":"https://openalex.org/keywords/diffusion","display_name":"Diffusion","score":0.6039792895317078},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.5149767994880676},{"id":"https://openalex.org/keywords/penalty-method","display_name":"Penalty method","score":0.4368094801902771},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4346778392791748},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.37984153628349304},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.21186110377311707},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.10178890824317932},{"id":"https://openalex.org/keywords/thermodynamics","display_name":"Thermodynamics","score":0.09859153628349304}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7389041185379028},{"id":"https://openalex.org/C69357855","wikidata":"https://www.wikidata.org/wiki/Q163214","display_name":"Diffusion","level":2,"score":0.6039792895317078},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.5149767994880676},{"id":"https://openalex.org/C6180225","wikidata":"https://www.wikidata.org/wiki/Q3411771","display_name":"Penalty method","level":2,"score":0.4368094801902771},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4346778392791748},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.37984153628349304},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.21186110377311707},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.10178890824317932},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","level":1,"score":0.09859153628349304}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/s10915-017-0602-9","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10915-017-0602-9","pdf_url":null,"source":{"id":"https://openalex.org/S151550017","display_name":"Journal of Scientific Computing","issn_l":"0885-7474","issn":["0885-7474","1573-7691"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Scientific Computing","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G4997894706","display_name":null,"funder_award_id":"MYRG068(Y4-L2)-FST13-DD","funder_id":"https://openalex.org/F4320322841","funder_display_name":"Universidade de Macau"},{"id":"https://openalex.org/G577295160","display_name":null,"funder_award_id":"MYRG2016-00202-FST","funder_id":"https://openalex.org/F4320322841","funder_display_name":"Universidade de Macau"}],"funders":[{"id":"https://openalex.org/F4320322841","display_name":"Universidade de Macau","ror":"https://ror.org/01r4q9n85"},{"id":"https://openalex.org/F4320337393","display_name":"Division of Chemistry","ror":"https://ror.org/01ar8dr59"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":46,"referenced_works":["https://openalex.org/W648869842","https://openalex.org/W1499969990","https://openalex.org/W1511121222","https://openalex.org/W1531532214","https://openalex.org/W1600624394","https://openalex.org/W1601841372","https://openalex.org/W1865708560","https://openalex.org/W1879260681","https://openalex.org/W1902909323","https://openalex.org/W1964625124","https://openalex.org/W1975507670","https://openalex.org/W1981073545","https://openalex.org/W1981220107","https://openalex.org/W1988893020","https://openalex.org/W2054557638","https://openalex.org/W2054756613","https://openalex.org/W2055846437","https://openalex.org/W2058585891","https://openalex.org/W2062092992","https://openalex.org/W2063708794","https://openalex.org/W2077791698","https://openalex.org/W2089072315","https://openalex.org/W2095614580","https://openalex.org/W2112900014","https://openalex.org/W2114010261","https://openalex.org/W2118160506","https://openalex.org/W2119104548","https://openalex.org/W2121533457","https://openalex.org/W2134508021","https://openalex.org/W2138540172","https://openalex.org/W2155151872","https://openalex.org/W2161628554","https://openalex.org/W2171303908","https://openalex.org/W2473619851","https://openalex.org/W2744463887","https://openalex.org/W2787959293","https://openalex.org/W2791138774","https://openalex.org/W3104959316","https://openalex.org/W3106125835","https://openalex.org/W3122879049","https://openalex.org/W3122936008","https://openalex.org/W3124656020","https://openalex.org/W3124996638","https://openalex.org/W3125755367","https://openalex.org/W4205112682","https://openalex.org/W6602276979"],"related_works":["https://openalex.org/W2018662469","https://openalex.org/W2109185638","https://openalex.org/W2098882706","https://openalex.org/W1988507758","https://openalex.org/W2048756781","https://openalex.org/W2347558389","https://openalex.org/W122341662","https://openalex.org/W2106069570","https://openalex.org/W4285154570","https://openalex.org/W2945790020"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":4},{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":6},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":2},{"year":2017,"cited_by_count":1}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}