Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models

Shift-invert Lanczos method for the symmetric positive semidefinite Toeplitz matrix exponential

(2010) Hong-Kui Pang et al.   NUMERICAL LINEAR ALGEBRA WITH APPLICATIONS

Fast exponential time integration scheme for option pricing with jumps

(2010) Spike T. Lee et al.   NUMERICAL LINEAR ALGEBRA WITH APPLICATIONS

Shift-Invert Arnoldi Approximation to the Toeplitz Matrix Exponential

(2010) Spike T. Lee et al.   SIAM JOURNAL ON SCIENTIFIC COMPUTING

Exponential time integration for fast finite element solutions of some financial engineering problems

(2008) N. Rambeerich et al.   JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

Acceleration Techniques for Approximating the Matrix Exponential Operator

(2008) M. Popolizio et al.   SIAM JOURNAL ON MATRIX ANALYSIS AND APPLICATIONS

Exponential time integration and Chebychev discretisation schemes for fast pricing of options

(2007) D.Y. Tangman et al.   APPLIED NUMERICAL MATHEMATICS

Pricing Options in Jump-Diffusion Models: An Extrapolation Approach

(2007) Liming Feng et al.   OPERATIONS RESEARCH