Efficient solution of a partial integro-differential equation in finance (Q952815)
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scientific article; zbMATH DE number 5366019
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| English | Efficient solution of a partial integro-differential equation in finance |
scientific article; zbMATH DE number 5366019 |
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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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0.8334660530090332
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0.8303414583206177
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0.8227775692939758
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0.8178503513336182
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0.8162673711776733
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