A Generalized Block Circulant Preconditioner for Crank-Nicolson All-at-Once Systems with Applications to Option Pricing PDEs

Yong-Liang Zhao, Yao Li, Xian-Ming Gu +1

The Crank--Nicolson (CN) method is a widely used time integration scheme for evolutionary partial differential equations (PDEs) arising in various scientific and engineering discip…