Boundary value methods with the Crank–Nicolson preconditioner for pricing options in the jump-diffusion model

DOI10.1080/00207160.2010.524929zbMath1218.65153MaRDI QIDQ3008377

Shu-Ling Yang, Spike T. Lee, Hai-Wei Sun

Publication date: 15 June 2011

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2010.524929

zbMATH Keywords

stability; numerical experiments; Toeplitz matrix; preconditioner; GMRES method; partial integro-differential equation; jump-diffusion process; local mesh refinement; boundary value method; fourth-order compact scheme; option pricing function; Crank-Nicolson time-marching scheme

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65R20: Numerical methods for integral equations

45K05: Integro-partial differential equations

91B24: Microeconomic theory (price theory and economic markets)

65F08: Preconditioners for iterative methods

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