Efficient solution of a partial integro-differential equation in finance

DOI10.1016/j.apnum.2007.11.002zbMath1155.65109OpenAlexW2089072315WikidataQ115360428 ScholiaQ115360428MaRDI QIDQ952815

Ekkehard W. Sachs, Arne K. Strauss

Publication date: 14 November 2008

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2007.11.002

zbMATH Keywords

numerical examplespreconditioningconjugate gradient methodfinite differencesLévy processToeplitz matricespartial integro-differential equationsjump-diffusion modelspricing of derivatives

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Integro-partial differential equations (45K05)

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