Efficient solution of a partial integro-differential equation in finance (Q952815): Difference between revisions
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Revision as of 04:39, 5 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient solution of a partial integro-differential equation in finance |
scientific article |
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Efficient solution of a partial integro-differential equation in finance (English)
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14 November 2008
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Lévy process
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partial integro-differential equations
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conjugate gradient method
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Toeplitz matrices
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preconditioning
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numerical examples
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jump-diffusion models
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pricing of derivatives
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finite differences
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