Efficient solution of a partial integro-differential equation in finance

Applied Numerical Mathematics

Volumn 58, Issue 11, 2008, Pages 1687-1703

  Sachs, E W ^a,b   Strauss, A K ^c  

^a UNIVERSITY OF TRIER   (Germany)

^b VIRGINIA POLYTECHNIC INSTITUTE AND STATE UNIVERSITY   (United States)

^c LANCASTER UNIVERSITY   (United Kingdom)

Author keywords

Conjugate Gradient method; L vy process; Partial integro differential equations; Toeplitz matrices

Indexed keywords

CONJUGATE GRADIENT METHOD; DIFFERENTIAL EQUATIONS; DIFFERENTIATION (CALCULUS); FINITE DIFFERENCE METHOD; GRADIENT METHODS; INTEGRAL EQUATIONS; INTEGRODIFFERENTIAL EQUATIONS; LINEAR SYSTEMS; NUMERICAL ANALYSIS; PARTIAL DIFFERENTIAL EQUATIONS;

CIRCULANT; COMPUTATIONAL DOMAIN; CONVECTION TERM; EFFICIENT SOLUTIONS; FINITE DIFFERENCING; IMPLICIT SCHEMES; JUMP-DIFFUSION; MERTON'S MODEL; PARTIAL INTEGRO-DIFFERENTIAL EQUATION; PARTIAL INTEGRO-DIFFERENTIAL EQUATIONS; PRECONDITIONED CONJUGATE GRADIENT METHODS; SECOND-ORDER ACCURACY; TOEPLITZ MATRICES; UNIFORM GRIDS;

DIFFERENCE EQUATIONS;

EID: 52149111671     PISSN: 01689274     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.apnum.2007.11.002     Document Type: Article

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