UM  > Faculty of Science and Technology  > DEPARTMENT OF MATHEMATICS
Tri-diagonal preconditioner for Toeplitz systems from finance
Pang H.-K.; Zhang Y.-Y.; Jin X.-Q.
2011-02-01
Source PublicationEast Asian Journal on Applied Mathematics
ISSN20797362 20797370
Volume1Issue:1Pages:82-88
Abstract

We consider a nonsymmetric Toeplitz system which arises in the discretization of a partial integro-differential equation in option pricing problems. The preconditioned conjugate gradient method with a tri-diagonal preconditioner is used to solve this system. Theoretical analysis shows that under certain conditions the tri-diagonal preconditioner leads to a superlinear convergence rate. Numerical results exemplify our theoretical analysis 

KeywordEuropean Call Option Nonsymmetric Toeplitz System Normalized Preconditioned System (Matrix) Partial Integro-differential Equation Tri-diagonal Preconditioner
DOI10.4208/eajam.260609.190510a
URLView the original
Indexed BySCIE
WOS Research AreaMathematics
WOS SubjectMathematics, Applied
WOS IDWOS:000208782000005
PublisherGLOBAL SCIENCE PRESS
Fulltext Access
Citation statistics
Cited Times [WOS]:0   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionDEPARTMENT OF MATHEMATICS
AffiliationDepartment of Mathematics, University of Macau, Macao
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Pang H.-K.,Zhang Y.-Y.,Jin X.-Q.. Tri-diagonal preconditioner for Toeplitz systems from finance[J]. East Asian Journal on Applied Mathematics,2011,1(1):82-88.
APA Pang H.-K.,Zhang Y.-Y.,&Jin X.-Q..(2011).Tri-diagonal preconditioner for Toeplitz systems from finance.East Asian Journal on Applied Mathematics,1(1),82-88.
MLA Pang H.-K.,et al."Tri-diagonal preconditioner for Toeplitz systems from finance".East Asian Journal on Applied Mathematics 1.1(2011):82-88.
Files in This Item:
There are no files associated with this item.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Pang H.-K.]'s Articles
[Zhang Y.-Y.]'s Articles
[Jin X.-Q.]'s Articles
Baidu academic
Similar articles in Baidu academic
[Pang H.-K.]'s Articles
[Zhang Y.-Y.]'s Articles
[Jin X.-Q.]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Pang H.-K.]'s Articles
[Zhang Y.-Y.]'s Articles
[Jin X.-Q.]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.