Tri-diagonal preconditioner for Toeplitz systems from finance.

DOI10.4208/EAJAM.260609.190510AMaRDI QIDQ5406883zbMATH OpenOpenAlexFDO

Authors Hong-Kui Pang, Ying-Ying Zhang, Xiao-Qing Jin

Publication date 4 April 2014

Published in East Asian Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/5489a625f208668d4ccbb4784d519406c3fb2010

zbMATH Keywords

partial integro-differential equationEuropean call optionnonsymmetric Toeplitz systemtri-diagonal preconditionernormalized preconditioned system (matrix)

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) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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Cites work

• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• An Introduction to Iterative Toeplitz Solvers
• Efficient solution of a partial integro-differential equation in finance
• Numerical valuation of options with jumps in the underlying
• Option pricing when underlying stock returns are discontinuous

Cited in

(2)

• Tri-diagonal preconditioner for pricing options
• Circulant preconditioners for pricing options

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