Rational Krylov methods in exponential integrators for European option pricing

DOI10.1002/nla.1894zbMath1340.65207OpenAlexW1902369277MaRDI QIDQ5502425

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

zbMATH Keywords

European option pricingKrylov methodexponential integrator

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Reaction-diffusion equations (35K57) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22) Numerical computation of matrix exponential and similar matrix functions (65F60)

Related Items (7)

Null space correction and adaptive model order reduction in multi-frequency Maxwell's problem ⋮ A constructive method for parabolic equations with opposite orientations arising in optimal control ⋮ A framework of the harmonic Arnoldi method for evaluating \(\varphi\)-functions with applications to exponential integrators ⋮ 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 ⋮ Adaptive Rational Krylov Methods for Exponential Runge–Kutta Integrators ⋮ A scalable exponential-DG approach for nonlinear conservation laws: with application to Burger and Euler equations

Uses Software

• Matlab

Cites Work

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