Jitse Niesen

School of Mathematics, University of Leeds

Lecturer

Leeds LS2 9JT

United Kingdom

http://www.maths.leeds.ac.uk/~jitse/

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Scholarly Papers (1)

1.

A Krylov Subspace Method for Option Pricing

Number of pages: 22 Posted: 30 Mar 2011
Jitse Niesen and Will M. Wright
School of Mathematics, University of Leeds and University of Melbourne - Centre for Actuarial Studies
Downloads 269 (204,524)
Citation 3

Abstract:

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Option pricing, Exponential integrator, Krylov subspace method, Heston stochastic volatility, PRDC swaps