Tri-diagonal preconditioner for pricing options.

Hong-Kui Pang Ying-Ying Zhang Xiao-Qing Jin

Published in: J. Comput. Appl. Math. (2012)

Keyphrases

option pricing
black scholes model
double exponential
covariance matrix
black scholes
stock price
edge preserving
data sets
dynamic pricing
iterative methods
low frequency
linear systems
financial markets
case study
anisotropic diffusion
database
multiscale
decision making