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Tri-Diagonal Preconditioner for Toeplitz Systems from Finance
Published online by Cambridge University Press: 28 May 2015
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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- Copyright © Global-Science Press 2011