Efficient solution of a partial integro-differential equation in finance (Q952815)
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scientific article; zbMATH DE number 5366019
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient solution of a partial integro-differential equation in finance |
scientific article; zbMATH DE number 5366019 |
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Efficient solution of a partial integro-differential equation in finance (English)
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14 November 2008
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Lévy process
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partial integro-differential equations
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conjugate gradient method
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Toeplitz matrices
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preconditioning
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numerical examples
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jump-diffusion models
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pricing of derivatives
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finite differences
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