Notes on a 3-term Conjugacy Recurrence for the Iterative Solution of Symmetric Linear Systems
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References listed on IDEAS
- Geske, Robert, 1979. "The valuation of compound options," Journal of Financial Economics, Elsevier, vol. 7(1), pages 63-81, March.
- Amaro de Matos, Joao & Dilao, Rui & Ferreira, Bruno, 2006.
"The exact value for European options on a stock paying a discrete dividend,"
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- M. H. Vellekoop & J. W. Nieuwenhuis, 2006. "Efficient Pricing of Derivatives on Assets with Discrete Dividends," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(3), pages 265-284.
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More about this item
KeywordsIterative methods; 3-term recurrences; Conjugate Gradient method; Error Analysis; Preconditioning;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-12-01 (All new papers)
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