A fast stationary iterative method for a partial integro-differential equation in pricing options

DOI10.1007/S10092-012-0070-4MaRDI QIDQ385437zbMATH OpenOpenAlexWikidataFDO

Authors Fu-Rong Lin, Hai-Xia Yang

Publication date 2 December 2013

Published in Calcolo (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10092-012-0070-4

zbMATH Keywords

polynomial interpolationpartial integro-differential equationfast approximate inversionfast matrix-vector multiplicationfast stationary iterative method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Iterative numerical methods for linear systems (65F10) Integro-partial differential equations (45K05) Numerical methods for integral equations (65R20)

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Cites work

• scientific article; zbMATH DE number 1466110 (Why is no real title available?)
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• A Proposal for Toeplitz Matrix Calculations
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A fast numerical solution method for two dimensional Fredholm integral equations of the second kind
• An Optimal Circulant Preconditioner for Toeplitz Systems
• Circulant preconditioners for pricing options
• Conjugate Gradient Methods for Toeplitz Systems
• Efficient solution of a partial integro-differential equation in finance
• Iterative Solution Methods
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Numerical valuation of options with jumps in the underlying
• Option pricing when underlying stock returns are discontinuous
• Preconditioned iterative methods for the numerical solution of Fredholm equations of the second kind
• Pricing contingent claims on stocks driven by Lévy processes
• The pricing of options and corporate liabilities

Cited in

(10)

• Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing
• Efficient solution of a partial integro-differential equation in finance
• Tri-diagonal preconditioner for pricing options
• Fast and efficient numerical methods for an extended Black-Scholes model
• A direct solution method for pricing options involving the maximum process
• Explicit determinants of the RFPrLrR circulant and RLPrFrL circulant matrices involving some famous numbers
• Circulant type matrices with the sum and product of Fibonacci and Lucas numbers
• scientific article; zbMATH DE number 7478906 (Why is no real title available?)
• A fast numerical method to price American options under the Bates model
• A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator

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