Yusaku Yamamoto

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I n many of the numerical methods for pricing American options based on the dynamic programming approach, the most computationally intensive part can be formulated as the summation of Gaussians. Though this operation usually requires OONN work when there are N summations to compute and the number of terms appearing in each summation is N , we can reduce the(More)
The small-bulge multishift QR algorithm proposed by Bra-man, Byers and Mathias is one of the most eecient algorithms for computing the eigenvalues of nonsymmetric matrices on processors with hierarchical memory. However, to fully extract its po t e n tial performance, it is crucial to choose the block size m properly according to the target architecture and(More)
Traces of inverse powers of a positive definite symmetric tridiagonal matrix give lower bounds of the minimal singular value of an upper bidiagonal matrix. In a preceding work, a formula for the traces which gives the diagonal entries of the inverse powers is presented. In this paper, we present another formula which gives the traces based on a quite(More)