Circulant preconditioners for pricing options
DOI10.1016/j.laa.2010.03.034zbMath1233.91317MaRDI QIDQ2431151
Hong-Kui Pang, Ying-Ying Zhang, Seak Weng Vong, Xiao-qing Jin
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
partial integro-differential equation; European call option; family of generating functions; nonsymmetric Toeplitz system; normalized preconditioned system; Strang's circulant preconditioner
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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Cites Work
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- Option pricing when underlying stock returns are discontinuous
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