Tri-diagonal preconditioner for pricing options (Q442720)
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scientific article; zbMATH DE number 6063169
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Tri-diagonal preconditioner for pricing options |
scientific article; zbMATH DE number 6063169 |
Statements
Tri-diagonal preconditioner for pricing options (English)
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3 August 2012
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European call option
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partial integro-differential equation
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nonsymmetric Toeplitz system
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normalized preconditioned system
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tri-diagonal preconditioner
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family of generating functions
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0.8539077639579773
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0.8519189357757568
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0.8161037564277649
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0.8080684542655945
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