Tri-diagonal preconditioner for Toeplitz systems from finance.
DOI10.4208/EAJAM.260609.190510AzbMATH Open1284.91574OpenAlexW2319478830MaRDI QIDQ5406883FDOQ5406883
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
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Cites Work
- Title not available (Why is that?)
- Option pricing when underlying stock returns are discontinuous
- Efficient solution of a partial integro-differential equation in finance
- An Introduction to Iterative Toeplitz Solvers
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- Numerical valuation of options with jumps in the underlying
Cited In (2)
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