Publication Date:
2012-09-15
Description:
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. Content Type Journal Article Pages 1-15 DOI 10.1007/s10092-012-0070-4 Authors Fu-Rong Lin, Department of Mathematics, Shantou University, Shantou, 515063 Guangdong, China Hai-Xia Yang, Department of Mathematics, Shantou University, Shantou, 515063 Guangdong, China Journal Calcolo Online ISSN 1126-5434 Print ISSN 0008-0624
Print ISSN:
0008-0624
Electronic ISSN:
1126-5434
Topics:
Mathematics
