Year: 2011
East Asian Journal on Applied Mathematics, Vol. 1 (2011), Iss. 1 : pp. 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.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/eajam.260609.190510a
East Asian Journal on Applied Mathematics, Vol. 1 (2011), Iss. 1 : pp. 82–88
Published online: 2011-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 7
Keywords: European call option partial integro-differential equation nonsymmetric Toeplitz system normalized preconditioned system (matrix) tri-diagonal preconditioner.