Circulant preconditioners for pricing options

被引：3

作者：

Pang, Hong-Kui ^{[1
]}

Zhang, Ying-Ying ^{[1
]}

Vong, Seak-Weng ^{[1
]}

Jin, Xiao-Qing ^{[1
]}

机构：

[1] Univ Macau, Dept Math, Macau, Peoples R China

来源：

LINEAR ALGEBRA AND ITS APPLICATIONS | 2011年 / 434卷 / 11期

关键词：

European call option; Partial integro-differential equation; Nonsymmetric Toeplitz system; Normalized preconditioned system; Strang's circulant preconditioner; Family of generating functions; TOEPLITZ-SYSTEMS; FINANCE;

D O I：

10.1016/j.laa.2010.03.034

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We use the normalized preconditioned conjugate gradient method with Strang's circulant preconditioner to solve a nonsymmetric Toeplitz system A(n)x = b, which arises from the discretization of a partial integro-differential equation in option pricing. By using the definition of family of generating functions introduced in [16], we prove that Strang's circulant preconditioner leads to a superlinear convergence rate under certain conditions. Numerical results exemplify our theoretical analysis. (C) 2010 Elsevier Inc. All rights reserved.

引用

页码：2325 / 2342

页数：18

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