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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
Favorite  |  View/Download:6/0  |  Submit date:2019/02/13
Boundary Value Method  Crank-nicolson Time-marching Scheme  Fourth-order Compact Scheme  Jump-diffusion  Preconditioner  Toeplitz Matrix  
A short note on singular values of optimal and superoptimal preconditioned matrices Journal article
International Journal of Computer Mathematics, 2007,Volume: 84,Issue: 8,Page: 1261-1263
Authors:  Jin X.-Q.;  Wei Y.-M.
Favorite  |  View/Download:5/0  |  Submit date:2019/02/11
Optimal Preconditioner  Superoptimal Preconditioner