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Rational Krylov methods in exponential integrators for European option pricing - MaRDI portal

Rational Krylov methods in exponential integrators for European option pricing (Q5502425)

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scientific article; zbMATH DE number 6476002
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English
Rational Krylov methods in exponential integrators for European option pricing
scientific article; zbMATH DE number 6476002

    Statements

    title
    Rational Krylov methods in exponential integrators for European option pricing (English)
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    author
    Stefania Ragni
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    publication date
    26 August 2015
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    zbMATH Keywords
    European option pricing
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    exponential integrator
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    Krylov method
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    cites work
    Q4000061
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    Q4527711
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    Identifiers

    DOI
    10.1002/nla.1894
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    Mathematics Subject Classification ID
    65M22
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    65M06
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    65F60
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    91G60
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    35K57
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    35Q91
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    91G20
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    zbMATH DE Number
    6476002
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    OpenAlex ID
    W1902369277
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