Hong-Kui Pang

Xuzhou Normal University

Xuzhou, Jiangsu

China

SCHOLARLY PAPERS

2

DOWNLOADS

342

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

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.

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