Tri-diagonal preconditioner for pricing options
نویسندگان
چکیده
منابع مشابه
Tri-Diagonal Preconditioner for Toeplitz Systems from Finance
We consider a nonsymmetric Toeplitz system which arises in the discretization of a partial integro-differential equation in option pricing problems. The preconditioned conjugate gradient method with a tri-diagonal preconditioner is used to solve this system. Theoretical analysis shows that under certain conditions the tri-diagonal preconditioner leads to a superlinear convergence rate. Numerica...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2012
ISSN: 0377-0427
DOI: 10.1016/j.cam.2012.04.003