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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.
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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
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