A fast stationary iterative method for a partial integro-differential equation in pricing options
DOI10.1007/S10092-012-0070-4zbMATH Open1276.91102OpenAlexW1992830970WikidataQ115385387 ScholiaQ115385387MaRDI QIDQ385437FDOQ385437
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
polynomial interpolationpartial integro-differential equationfast approximate inversionfast matrix-vector multiplicationfast stationary iterative method
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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Cited In (7)
- Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing
- A direct solution method for pricing options involving the maximum process
- Explicit determinants of the RFP\(r\)L\(r\)R circulant and RLP\(r\)F\(r\)L circulant matrices involving some famous numbers
- Circulant type matrices with the sum and product of Fibonacci and Lucas numbers
- Title not available (Why is that?)
- 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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