A fast stationary iterative method for a partial integro-differential equation in pricing options

DOI10.1007/s10092-012-0070-4zbMath1276.91102OpenAlexW1992830970WikidataQ115385387 ScholiaQ115385387MaRDI QIDQ385437

Hai-Xia Yang, Fu-Rong Lin

Publication date: 2 December 2013

Published in: Calcolo (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10092-012-0070-4

zbMATH Keywords

polynomial interpolationpartial integro-differential equationfast approximate inversionfast matrix-vector multiplicationfast stationary iterative method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Integro-partial differential equations (45K05) Derivative securities (option pricing, hedging, etc.) (91G20) Iterative numerical methods for linear systems (65F10)

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Cites Work

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• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

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