Tri-diagonal preconditioner for pricing options

DOI10.1016/J.CAM.2012.04.003MaRDI QIDQ442720zbMATH OpenOpenAlexFDO

Authors Hong-Kui Pang, Ying-Ying Zhang, Xiao-Qing Jin

Publication date 3 August 2012

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2012.04.003

zbMATH Keywords

European call optionfamily of generating functionsnonsymmetric Toeplitz systemnormalized preconditioned systempartial integro-differential equationtri-diagonal preconditioner

Mathematics Subject Classification ID

Toeplitz, Cauchy, and related matrices (15B05) Toeplitz operators, Hankel operators, Wiener-Hopf operators (47B35) Preconditioners for iterative methods (65F08) Iterative numerical methods for linear systems (65F10) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• A jump-diffusion model for option pricing
• A Proposal for Toeplitz Matrix Calculations
• An Introduction to Iterative Toeplitz Solvers
• An Optimal Circulant Preconditioner for Toeplitz Systems
• Conjugate Gradient Methods for Toeplitz Systems
• Efficient solution of a partial integro-differential equation in finance
• Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
• scientific article; zbMATH DE number 1466110 (Why is no real title available?)
• scientific article; zbMATH DE number 2118874 (Why is no real title available?)
• Matrix Analysis
• Numerical valuation of options with jumps in the underlying
• On the extreme eigenvalues of Hermitian (block) Toeplitz matrices
• Optimal and Superoptimal Circulant Preconditioners
• Option pricing when underlying stock returns are discontinuous
• Pricing contingent claims on stocks driven by Lévy processes
• Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
• The pricing of options and corporate liabilities
• Toeplitz Preconditioners Constructed from Linear Approximation Processes
• Toeplitz-Circulant Preconditioners for Toeplitz Systems and their Applications to Queueing Networks with Batch Arrivals

Cited in

(4)

• Circulant preconditioners for pricing options
• A fast stationary iterative method for a partial integro-differential equation in pricing options
• A preconditioned MINRES method for nonsymmetric Toeplitz matrices
• Tri-diagonal preconditioner for Toeplitz systems from finance.

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