Efficient solution of a partial integro-differential equation in finance
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Publication:952815
DOI10.1016/J.APNUM.2007.11.002zbMATH Open1155.65109OpenAlexW2089072315WikidataQ115360428 ScholiaQ115360428MaRDI QIDQ952815FDOQ952815
Authors: Ekkehard W. Sachs, Arne 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
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numerical examplespreconditioningconjugate gradient methodfinite differencesToeplitz matricesjump-diffusion modelspartial integro-differential equationspricing of derivativesLévy process
Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Numerical methods for integral equations (65R20)
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Cited In (60)
- A novel numerical algorithm for solving linear systems with periodic pentadiagonal Toeplitz coefficient matrices
- A structure preserving matrix factorization for solving general periodic pentadiagonal Toeplitz linear systems
- Truncation of computational domains as an error control strategy for approximating option pricing involving PIDEs
- Properties of a partial Fredholm integro-differential equations with nonlocal condition and algorithms
- An actuated computational method for treating parabolic partial delay integro-differential equations constrained by infinite boundary
- Taylor collocation method for solving two‐dimensional partial Volterra integro‐differential equations
- Solution of variable‐order partial integro‐differential equation using Legendre wavelet approximation and operational matrices
- Synthesis of distributed optimal control in the tracking problem for the optimization of thermal processes described by integro-differential equations
- A convergent convex splitting scheme for a nonlocal Cahn-Hilliard-Oono type equation with a transport term
- Exact and numerical stability analysis of reaction-diffusion equations with distributed delays
- Fast algorithms for solving FLS \(R\)-factor block circulant linear systems and inverse problem of \(\mathcal{A} X = b\)
- Circulant preconditioners for functions of Hermitian Toeplitz matrices
- Second order convex splitting schemes for periodic nonlocal Cahn-Hilliard and Allen-Cahn equations
- A convergent convex splitting scheme for the periodic nonlocal Cahn-Hilliard equation
- Circulant preconditioners for analytic functions of Toeplitz matrices
- Using kernel-based collocation methods to solve a delay partial differential equation with application to finance
- High-order compact finite difference scheme for option pricing in stochastic volatility jump models
- A nonlinear partial integro-differential equation from mathematical finance
- Band-times-circulant preconditioners for non-symmetric real Toeplitz systems with unknown generating function
- Numerical solution of partial integro-differential equations by using projection method
- A new algorithm for solving nearly penta-diagonal Toeplitz linear systems
- On solvability of optimization problem for elastic oscillations with multipoint sources of control
- A numerical solution of nonlinear parabolic-type Volterra partial integro-differential equations using radial basis functions
- Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models
- Adaptive trust-region POD methods in PIDE-constrained optimization
- The applications of partial integro-differential equations related to adaptive wavelet collocation methods for viscosity solutions to jump-diffusion models
- A fast high-order sinc-based algorithm for pricing options under jump-diffusion processes
- Tri-diagonal preconditioner for pricing options
- Band-times-circulant preconditioners for non-symmetric Toeplitz systems
- A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
- Circulant preconditioners for pricing options
- Optimal preconditioners for systems defined by functions of Toeplitz matrices
- Extension and decomposition method for differential and integro-differential equations
- Efficient linear schemes for the nonlocal Cahn-Hilliard equation of phase field models
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- AN EFFECTIVE COMPUTATIONAL APPROACH BASED ON HERMITE WAVELET GALERKIN FOR SOLVING PARABOLIC VOLTERRA PARTIAL INTEGRO DIFFERENTIAL EQUATIONS AND ITS CONVERGENCE ANALYSIS
- A simple equation solver and its application to financial modelling
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- Determinants, norms, and the spread of circulant matrices with Tribonacci and generalized Lucas numbers
- Isomorphic operators and functional equations for the skew-circulant algebra
- Optimality conditions in the problem of thermal control with integral-differential equation
- Robust spectral method for numerical valuation of European options under Merton's jump-diffusion model
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
- Feedback Volterra control of integro-differential equations
- Unconditional positive stable numerical solution of partial integrodifferential option pricing problems
- A fast algorithm for solving Toeplitz penta-diagonal systems
- A new approach by two‐dimensional wavelets operational matrix method for solving variable‐order fractional partial integro‐differential equations
- Explicit determinants of the RFP\(r\)L\(r\)R circulant and RLP\(r\)F\(r\)L circulant matrices involving some famous numbers
- Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
- Fast computation of the matrix exponential for a Toeplitz matrix
- A semi-discrete scheme for solving nonlinear hyperbolic-type partial integro-differential equations using radial basis functions
- GENERALIZATIONS TO SOME INTEGRO-DIFFERENTIAL EQUATIONS EMBODYING POWERS OF A DIFFERENTIAL OPERATOR
- Positive solutions of European option pricing with CGMY process models using double discretization difference schemes
- Necessary optimality conditions for the control of partial integro-differential equations
- A fast numerical method for fractional partial integro-differential equations with spatial-time delays
- Solving Free-boundary Problems with Applications in Finance
- A fast stationary iterative method for a partial integro-differential equation in pricing options
- Computation of the unknown volatility from integral option price observations in jump-diffusion models
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