Boundary value methods with the Crank–Nicolson preconditioner for pricing options in the jump-diffusion model (Q3008377)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Boundary value methods with the Crank–Nicolson preconditioner for pricing options in the jump-diffusion model |
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Boundary value methods with the Crank–Nicolson preconditioner for pricing options in the jump-diffusion model (English)
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15 June 2011
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boundary value method
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preconditioner
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Crank-Nicolson time-marching scheme
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fourth-order compact scheme
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Toeplitz matrix
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jump-diffusion process
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option pricing function
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partial integro-differential equation
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stability
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local mesh refinement
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GMRES method
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numerical experiments
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