Circulant preconditioners for pricing options

DOI10.1016/j.laa.2010.03.034zbMath1233.91317OpenAlexW2029550329MaRDI 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 equationEuropean call optionfamily of generating functionsnonsymmetric Toeplitz systemnormalized preconditioned systemStrang's circulant preconditioner

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Toeplitz operators, Hankel operators, Wiener-Hopf operators (47B35) Derivative securities (option pricing, hedging, etc.) (91G20) Iterative numerical methods for linear systems (65F10)

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Cites Work

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