@Article{EAJAM-1-82,
author = {},
title = {Tri-Diagonal Preconditioner for Toeplitz Systems from Finance},
journal = {East Asian Journal on Applied Mathematics},
year = {2018},
volume = {1},
number = {1},
pages = {82--88},
abstract = {<p style="text-align: justify;">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.</p>},
issn = {2079-7370},
doi = {https://doi.org/10.4208/eajam.260609.190510a},
url = {http://global-sci.org/intro/article_detail/eajam/10897.html}
}