Residential College | false |
Status | 已發表Published |
Tri-diagonal preconditioner for Toeplitz systems from finance | |
Pang H.-K.; Zhang Y.-Y.; Jin X.-Q. | |
2011-02-01 | |
Source Publication | East Asian Journal on Applied Mathematics |
ISSN | 20797362 20797370 |
Volume | 1Issue:1Pages:82-88 |
Abstract | 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. Numerical results exemplify our theoretical analysis |
Keyword | European Call Option Nonsymmetric Toeplitz System Normalized Preconditioned System (Matrix) Partial Integro-differential Equation Tri-diagonal Preconditioner |
DOI | 10.4208/eajam.260609.190510a |
URL | View the original |
Indexed By | SCIE |
WOS Research Area | Mathematics |
WOS Subject | Mathematics, Applied |
WOS ID | WOS:000208782000005 |
Publisher | GLOBAL SCIENCE PRESS |
Scopus ID | 2-s2.0-84878145216 |
Fulltext Access | |
Citation statistics | |
Document Type | Journal article |
Collection | DEPARTMENT OF MATHEMATICS |
Affiliation | Department of Mathematics, University of Macau, Macao |
First Author Affilication | University of Macau |
Recommended Citation GB/T 7714 | Pang H.-K.,Zhang Y.-Y.,Jin X.-Q.. Tri-diagonal preconditioner for Toeplitz systems from finance[J]. East Asian Journal on Applied Mathematics, 2011, 1(1), 82-88. |
APA | Pang H.-K.., Zhang Y.-Y.., & Jin X.-Q. (2011). Tri-diagonal preconditioner for Toeplitz systems from finance. East Asian Journal on Applied Mathematics, 1(1), 82-88. |
MLA | Pang H.-K.,et al."Tri-diagonal preconditioner for Toeplitz systems from finance".East Asian Journal on Applied Mathematics 1.1(2011):82-88. |
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