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| Quadratic finite element and preconditioning methods for options pricing in the SVCJ model Journal article
Journal of Computational Finance, 2014,Volume: 17,Issue: 3,Page: 3-30
Authors: Zhang Y.-Y.; Pang H.-K.; Feng L.; Jin X.-Q.
  Favorite | View/Download：4/0 | Submit date：2019/02/11
Jump Diffusion-processes Stochastic Volatility American Options Returns Systems Assets |
| Tri-diagonal preconditioner for pricing options Journal article
Journal of Computational and Applied Mathematics, 2012,Volume: 236,Issue: 17,Page: 4365-4374
Authors: Pang H.-K.; Zhang Y.-Y.; Jin X.-Q.
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European Call Option Family Of Generating Functions Nonsymmetric Toeplitz System Normalized Preconditioned System Partial Integro-differential Equation Tri-diagonal Preconditioner |
| Fourth-order compact scheme with local mesh refinement for option pricing in jump-diffusion model Journal article
Numerical Methods for Partial Differential Equations, 2012,Volume: 28,Issue: 3,Page: 1079-1098
Authors: Lee S.T.; Sun H.-W.
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Fourth-order Compact Scheme Jump-diffusion Local Mesh Refinement Partial Integro-differential Equation Toeplitz Matrix |
| Higher Order Boundary Integral Formula and Integro-Differential Equation on Stein Mainfolds Journal article
Complex Analysis and Operator Theory, 2012,Volume: 6,Issue: 2,Page: 447-464
Authors: Chen L.; Zhong T.; Qian T.
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Bochner-martinelli Integral Composite Formula Higher Order Singular Integral Integro-differential Equation Plemelj Formula Stein Manifolds |
| Fourth-Order Compact Scheme with Local MeshRefinement for Option Pricing in Jump-DiffusionModel Journal article
Numerical Methods for Partial Differential Equations, 2011,Volume: 28,Issue: 3,Page: 1079-1098
Authors: Spike T. Lee; Hai‐Wei Sun
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Fourth-order Compact Scheme Jump-diffusion Local Mesh Refinement Partial Integro-differentialequation Toeplitz Matrix |
| Circulant preconditioners for pricing options Conference paper
Linear Algebra and Its Applications, Nanjing, PEOPLES R CHINA, NOV 02-05, 2008
Authors: Pang H.-K.; Zhang Y.-Y.; Vong S.-W.; Jin X.-Q.
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European Call Option Family Of Generating Functions Nonsymmetric Toeplitz System Normalized Preconditioned System Partial Integro-differential Equation Strang's Circulant Preconditioner |
| Boundary value methods with the Crank-Nicolson preconditioner for pricing options in the jump-diffusion model Journal article
International Journal of Computer Mathematics, 2011,Volume: 88,Issue: 8,Page: 1730-1748
Authors: Shu-Ling Yang; Spike T. Lee; Hai-Wei Sun
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Boundary Value Method Crank-nicolson Time-marching Scheme Fourth-order Compact Scheme Jump-diffusion Preconditioner Toeplitz Matrix |
| Tri-diagonal preconditioner for Toeplitz systems from finance Journal article
East Asian Journal on Applied Mathematics, 2011,Volume: 1,Issue: 1,Page: 82-88
Authors: Pang H.-K.; Zhang Y.-Y.; Jin X.-Q.
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European Call Option Nonsymmetric Toeplitz System Normalized Preconditioned System (Matrix) Partial Integro-differential Equation Tri-diagonal Preconditioner |
| Circulant preconditioners for pricing options Journal article
Linear Algebra and its Applications, 2010,Volume: 434,Issue: 11,Page: 2325-2342
Authors: Hong-KuiPang; Ying-Ying Zhang; Seak-Weng Vong; Xiao-QingJin
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European Call Option Nonsymmetric Toeplitz System Normalized Preconditioned System Strang’s Circulant Preconditioner Family Of Generating Functions Partial Integro-differential Equation |
| A family of generating functions with an application in finance Conference paper
Proceedings of the National Institute for Mathematical Sciences, Daejeon, Korea, October 10-12 2008
Authors: Ying-Ying Zhang; Seak-Weng Vong; Xiao-Qing Jin
Favorite | View/Download：3/0 | Submit date：2019/07/24 |
