Rational Krylov methods in exponential integrators for European option pricing.
DOI10.1002/NLA.1894zbMATH Open1340.65207OpenAlexW1902369277MaRDI QIDQ5502425FDOQ5502425
Authors: Stefania Ragni 
Publication date: 26 August 2015
Published in: Numerical Linear Algebra with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/nla.1894
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Reaction-diffusion equations (35K57) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Numerical computation of matrix exponential and similar matrix functions (65F60) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)
Cites Work
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Cited In (9)
- A constructive method for parabolic equations with opposite orientations arising in optimal control
- Exponential Rosenbrock integrators for option pricing
- A scalable exponential-DG approach for nonlinear conservation laws: with application to Burger and Euler equations
- A framework of the harmonic Arnoldi method for evaluating \(\varphi\)-functions with applications to exponential integrators
- Null space correction and adaptive model order reduction in multi-frequency Maxwell's problem
- Adaptive model order reduction for the Jacobian calculation in inverse multi-frequency problem for Maxwell's equations
- Optimal resource allocation for spatiotemporal control of invasive species
- On RD-rational Krylov approximations to the core-functions of exponential integrators
- Adaptive Rational Krylov Methods for Exponential Runge–Kutta Integrators
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