Tri-Diagonal Preconditioner for Toeplitz Systems from Finance

被引：0
|
作者：
Pang, Hong-Kui [1 ]
Zhang, Ying-Ying [1 ]
Jin, Xiao-Qing [1 ]
机构：
[1] Univ Macau, Dept Math, Taipa, Peoples R China
来源：
EAST ASIAN JOURNAL ON APPLIED MATHEMATICS | 2011年 / 1卷 / 01期
关键词：
European call option; partial integro-differential equation; nonsymmetric Toeplitz system; normalized preconditioned system (matrix); tri-diagonal preconditioner;
D O I：
10.4208/eajam.260609.190510a
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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.
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页码：82 / 88
页数：7
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