A fast stationary iterative method for a partial integro-differential equation in pricing options |
| |
Authors: | Fu-Rong Lin Hai-Xia Yang |
| |
Affiliation: | 1. Department of Mathematics, Shantou University, Shantou, 515063, Guangdong, China
|
| |
Abstract: | A jump-diffusion model for the pricing of options leads to a partial integro-differential equation (PIDE). Discretizing the PIDE by certain method, we get a sequence of systems of linear equations, where the coefficient matrices are Toeplitz matrices. In this paper, we decompose the coefficient matrix as the sum of a tridiagonal matrix and a near low-rank matrix, and approximate the near low-rank matrix by low-rank matrices. Then we introduce a stationary iterative method for the approximate systems of linear equations. Comparison of the performance of our algorithm to that proposed in Pang et al. (Linear Algebra Appl. 434:2325–2342, 2011) is presented. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|