East Asian J. Appl. Math., 1 (2011), pp. 82-88.
Published online: 2018-02
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We consider a nonsymmetric Toeplitz system which arises in the discretization of a partial integro-differential equation in option pricing problems. The preconditioned conjugate gradient method with a tri-diagonal preconditioner is used to solve this system. Theoretical analysis shows that under certain conditions the tri-diagonal preconditioner leads to a superlinear convergence rate. Numerical results exemplify our theoretical analysis.
}, issn = {2079-7370}, doi = {https://doi.org/10.4208/eajam.260609.190510a}, url = {http://global-sci.org/intro/article_detail/eajam/10897.html} }We consider a nonsymmetric Toeplitz system which arises in the discretization of a partial integro-differential equation in option pricing problems. The preconditioned conjugate gradient method with a tri-diagonal preconditioner is used to solve this system. Theoretical analysis shows that under certain conditions the tri-diagonal preconditioner leads to a superlinear convergence rate. Numerical results exemplify our theoretical analysis.