Incremental computation of block triangular matrix exponentials with application to option pricing

zbMath1371.15007arXiv1703.00182MaRDI QIDQ2406867

Yanyan Li

Publication date: 4 October 2017

Published in: ETNA. Electronic Transactions on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.00182

zbMATH Keywords

option pricingmatrix exponentialblock triangular matrixpolynomial diffusion models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Matrix exponential and similar functions of matrices (15A16) Numerical computation of matrix exponential and similar matrix functions (65F60)

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