Circulant preconditioners for pricing options

DOI10.1016/j.laa.2010.03.034zbMath1233.91317MaRDI QIDQ2431151

Ying-Ying Zhang, Hong-Kui Pang, Xiao-qing Jin, Seak Weng Vong

Publication date: 11 April 2011

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.laa.2010.03.034

zbMATH Keywords

partial integro-differential equation; European call option; family of generating functions; nonsymmetric Toeplitz system; normalized preconditioned system; Strang's circulant preconditioner

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

47B35: Toeplitz operators, Hankel operators, Wiener-Hopf operators

91G20: Derivative securities (option pricing, hedging, etc.)

65F10: Iterative numerical methods for linear systems

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A fast stationary iterative method for a partial integro-differential equation in pricing options, Exact determinants of some special circulant matrices involving four kinds of famous numbers

Cites Work

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