报告主题：Circulant preconditioner for the fractional American option pricing model
报告人：殷俊锋 教授 （同济大学）
报告时间：2019年5月17日（周五） 14：40
报告地点：校本部G507
邀请人：李常品
报告摘要：After discretation by the finite volume method, the numerical solution of fractional American option pricing model leads to a large, positive definite linear systems or linear complementarity with Toeplitz-like structure. Motivated by the idea of ADI scheme, we proposed a class of positive-definite splitting iteration method, as well as the preconditioner. From the implementation, circulant approximation and FFT are applied. Numerical experiment verified the convergence of the proposed methods and the efficiency of the preconditioners, compared with the existing approaches.
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