Xiao-Qing Jin

University of Macau

P.O. Box 3001

Macau

Macau

SCHOLARLY PAPERS

3

DOWNLOADS

382

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Quadratic Finite Element and Preconditioning for Options Pricing in the SVCJ Model

Journal of Computational Finance, Forthcoming
Number of pages: 20 Posted: 11 Jan 2012
Chongqing University, Xuzhou Normal University, University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering and University of Macau
Downloads 312 (184,353)

Abstract:

Loading...

stochastic volatility jump diffusion, barrier option, partial integro-differential equation, quadratic finite element, preconditioning, BiCGSTAB, modified incomplete LU preconditioner, block circulant preconditioner

2.

A Family of Generating Functions with an Application in Finance

Proceedings of the National Institute for Mathematical Sciences Vol. 2, No. 10 (2008)
Number of pages: 7 Posted: 27 Jan 2014
Ying-Ying Zhang, Seak-Weng Vong and Xiao-Qing Jin
Chongqing University, University of Macau and University of Macau
Downloads 40 (794,309)

Abstract:

Loading...

3.

Tri-Diagonal Preconditioner for Pricing Options

Journal of Computational and Applied Mathematics, 236: 4365-4374, 2012
Number of pages: 17 Posted: 28 Jan 2014
Hong-Kui Pang, Ying-Ying Zhang and Xiao-Qing Jin
Xuzhou Normal University, Chongqing University and University of Macau
Downloads 30 (874,363)

Abstract:

Loading...

European call option, partial integro-differential equation, nonsymmetric Toeplitz system, normalized preconditioned system, tri-diagonal preconditioner, family of generating functions