Efficient solution of a partial integro-differential equation in finance
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Cites work
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Cited in
(66)- Circulant preconditioners for analytic functions of Toeplitz matrices
- A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models
- Numerical solution of partial integro-differential equations by using projection method
- Fast algorithms for solving FLS \(R\)-factor block circulant linear systems and inverse problem of \(\mathcal{A} X = b\)
- Determinants, norms, and the spread of circulant matrices with Tribonacci and generalized Lucas numbers
- Isomorphic operators and functional equations for the skew-circulant algebra
- Explicit determinants of the RFPrLrR circulant and RLPrFrL circulant matrices involving some famous numbers
- Circulant preconditioners for functions of Hermitian Toeplitz matrices
- Optimal preconditioners for systems defined by functions of Toeplitz matrices
- Unconditional positive stable numerical solution of partial integrodifferential option pricing problems
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- Positive solutions of European option pricing with CGMY process models using double discretization difference schemes
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- A simple equation solver and its application to financial modelling
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- AN EFFECTIVE COMPUTATIONAL APPROACH BASED ON HERMITE WAVELET GALERKIN FOR SOLVING PARABOLIC VOLTERRA PARTIAL INTEGRO DIFFERENTIAL EQUATIONS AND ITS CONVERGENCE ANALYSIS
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- A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
- A nonlinear partial integro-differential equation from mathematical finance
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