Boundary value methods with the Crank–Nicolson preconditioner for pricing options in the jump-diffusion model

DOI10.1080/00207160.2010.524929zbMath1218.65153OpenAlexW1979974579MaRDI QIDQ3008377

Shu-Ling Yang, Spike T. Lee, Hai-Wei Sun

Publication date: 15 June 2011

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

Full work available at URL: https://doi.org/10.1080/00207160.2010.524929

zbMATH Keywords

stabilitynumerical experimentsToeplitz matrixpreconditionerGMRES methodpartial integro-differential equationjump-diffusion processlocal mesh refinementboundary value methodfourth-order compact schemeoption pricing functionCrank-Nicolson time-marching scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Integro-partial differential equations (45K05) Microeconomic theory (price theory and economic markets) (91B24) Preconditioners for iterative methods (65F08)

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Cites Work

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• High order ADI method for solving unsteady convection-diffusion problems
• Strang-type preconditioners for systems of LMF-based ODE codes
• Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
• A Circulant Preconditioner for the Systems of LMF-Based ODE Codes
• Robust numerical methods for contingent claims under jump diffusion processes
• Conjugate Gradient Methods for Toeplitz Systems
• An Introduction to Iterative Toeplitz Solvers
• Option pricing when underlying stock returns are discontinuous

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