A fast high-order sinc-based algorithm for pricing options under jump-diffusion processes

DOI10.1080/00207160.2013.867954zbMath1299.91170OpenAlexW2111776477MaRDI QIDQ2931955

Jun Liu, Hai-Wei Sun

Publication date: 28 November 2014

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2013.867954

zbMATH Keywords

integro-differential equationsdomain decompositionToeplitzsinc methodimproved fast Gauss transform

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Iterative numerical methods for linear systems (65F10) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Numerical methods for discrete and fast Fourier transforms (65T50) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55)

Cites Work

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