Tri-diagonal preconditioner for pricing options
DOI10.1016/j.cam.2012.04.003zbMath1244.91094OpenAlexW2087555531MaRDI QIDQ442720
Ying-Ying Zhang, Hong-Kui Pang, Xiao-qing Jin
Publication date: 3 August 2012
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2012.04.003
partial integro-differential equationEuropean call optionfamily of generating functionsnonsymmetric Toeplitz systemnormalized preconditioned systemtri-diagonal preconditioner
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) Toeplitz, Cauchy, and related matrices (15B05) Preconditioners for iterative methods (65F08)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- A Jump-Diffusion Model for Option Pricing
- Efficient solution of a partial integro-differential equation in finance
- Pricing contingent claims on stocks driven by Lévy processes
- On the extreme eigenvalues of Hermitian (block) Toeplitz matrices
- Numerical valuation of options with jumps in the underlying
- Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
- Matrix Analysis
- A Proposal for Toeplitz Matrix Calculations
- An Optimal Circulant Preconditioner for Toeplitz Systems
- Optimal and Superoptimal Circulant Preconditioners
- Toeplitz Preconditioners Constructed from Linear Approximation Processes
- Conjugate Gradient Methods for Toeplitz Systems
- Toeplitz-Circulant Preconditioners for Toeplitz Systems and their Applications to Queueing Networks with Batch Arrivals
- An Introduction to Iterative Toeplitz Solvers
- Option pricing when underlying stock returns are discontinuous
- Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
