{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,6,14]],"date-time":"2026-06-14T16:59:09Z","timestamp":1781456349464,"version":"3.54.1"},"reference-count":26,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,11,1]],"date-time":"2026-11-01T00:00:00Z","timestamp":1793491200000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.elsevier.com\/tdm\/userlicense\/1.0\/"},{"start":{"date-parts":[[2026,11,1]],"date-time":"2026-11-01T00:00:00Z","timestamp":1793491200000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.elsevier.com\/legal\/tdmrep-license"}],"funder":[{"DOI":"10.13039\/501100020084","name":"Guangzhou Municipal Science and Technology Bureau","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100020084","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100004733","name":"University of Macau","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100004733","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["elsevier.com","sciencedirect.com"],"crossmark-restriction":true},"short-container-title":["Mathematics and Computers in Simulation"],"published-print":{"date-parts":[[2026,11]]},"DOI":"10.1016\/j.matcom.2026.05.027","type":"journal-article","created":{"date-parts":[[2026,5,30]],"date-time":"2026-05-30T05:27:50Z","timestamp":1780118870000},"page":"369-391","update-policy":"https:\/\/doi.org\/10.1016\/elsevier_cm_policy","source":"Crossref","is-referenced-by-count":0,"special_numbering":"C","title":["A Newton\u2013Krylov method with a tridiagonal preconditioner for American option pricing under jump\u2013diffusion model with transaction costs"],"prefix":"10.1016","volume":"249","author":[{"given":"Xu","family":"Chen","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0009-0001-5696-0188","authenticated-orcid":false,"given":"Ru-Lin","family":"Ding","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Siu-Long","family":"Lei","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"key":"10.1016\/j.matcom.2026.05.027_b1","doi-asserted-by":"crossref","first-page":"1283","DOI":"10.1111\/j.1540-6261.1985.tb02383.x","article-title":"Option pricing and replication with transactions costs","volume":"40","author":"Leland","year":"1985","journal-title":"J. Financ."},{"key":"10.1016\/j.matcom.2026.05.027_b2","first-page":"21","article-title":"Hedging option portfolios in the presence of transaction costs","volume":"7","author":"Wilmott","year":"1994","journal-title":"Adv. Futur. Opt. Res."},{"issue":"3","key":"10.1016\/j.matcom.2026.05.027_b3","doi-asserted-by":"crossref","first-page":"235","DOI":"10.1155\/JAM.2005.235","article-title":"On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile","volume":"2005","author":"Janda\u010dka","year":"2005","journal-title":"J. Appl. Math."},{"key":"10.1016\/j.matcom.2026.05.027_b4","doi-asserted-by":"crossref","first-page":"688","DOI":"10.1016\/j.jmaa.2004.08.067","article-title":"A Black\u2013Scholes option pricing model with transaction costs","volume":"303","author":"Amster","year":"2005","journal-title":"J. Math. Anal. Appl."},{"key":"10.1016\/j.matcom.2026.05.027_b5","first-page":"81","article-title":"Nonlinear integral-differential evolution equation arising in option pricing when including transaction costs: a viscosity solution approach","volume":"12","author":"Averbuj","year":"2012","journal-title":"Rev. Bras. Econ. Empres."},{"key":"10.1016\/j.matcom.2026.05.027_b6","doi-asserted-by":"crossref","first-page":"246","DOI":"10.1016\/j.camwa.2025.07.014","article-title":"Nonlinear PDE model for pricing European options with transaction costs under the 3\/2 non-affine stochastic volatility model","volume":"196","author":"Tan","year":"2025","journal-title":"Comput. Math. Appl."},{"key":"10.1016\/j.matcom.2026.05.027_b7","doi-asserted-by":"crossref","first-page":"123","DOI":"10.1016\/j.chaos.2017.05.043","article-title":"A space-time fractional derivative model for European option pricing with transaction costs in fractal market","volume":"103","author":"Song","year":"2017","journal-title":"Chaos Solitons Fractals"},{"key":"10.1016\/j.matcom.2026.05.027_b8","doi-asserted-by":"crossref","DOI":"10.1016\/j.cam.2021.113639","article-title":"Utility-indifference pricing of European options with proportional transaction costs","volume":"397","author":"Yan","year":"2021","journal-title":"J. Comput. Appl. Math."},{"key":"10.1016\/j.matcom.2026.05.027_b9","article-title":"Optimal exercise of American puts with transaction costs under utility maximization","volume":"415","author":"Lu","year":"2022","journal-title":"Appl. Math. Comput."},{"key":"10.1016\/j.matcom.2026.05.027_b10","doi-asserted-by":"crossref","first-page":"365","DOI":"10.3934\/jimo.2013.9.365","article-title":"Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme","volume":"9","author":"Li","year":"2013","journal-title":"J. Ind. Manag. Optim."},{"issue":"8","key":"10.1016\/j.matcom.2026.05.027_b11","doi-asserted-by":"crossref","first-page":"1086","DOI":"10.1287\/mnsc.48.8.1086.166","article-title":"A jump-diffusion model for option pricing","volume":"48","author":"Kou","year":"2002","journal-title":"Manag. Sci."},{"key":"10.1016\/j.matcom.2026.05.027_b12","doi-asserted-by":"crossref","first-page":"125","DOI":"10.1016\/0304-405X(76)90022-2","article-title":"Option pricing when underlying stock returns are discontinuous","volume":"3","author":"Merton","year":"1976","journal-title":"J. Financ. Econ."},{"key":"10.1016\/j.matcom.2026.05.027_b13","doi-asserted-by":"crossref","first-page":"881","DOI":"10.1007\/s40314-014-0156-5","article-title":"A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process","volume":"34","author":"Zhou","year":"2015","journal-title":"Comp. Appl. Math."},{"issue":"4","key":"10.1016\/j.matcom.2026.05.027_b14","doi-asserted-by":"crossref","first-page":"1793","DOI":"10.3934\/jimo.2017019","article-title":"A numerical scheme for pricing American options with transaction costs under a jump diffusion process","volume":"13","author":"Lesmana","year":"2017","journal-title":"J. Ind. Manag. Optim."},{"key":"10.1016\/j.matcom.2026.05.027_b15","doi-asserted-by":"crossref","first-page":"643","DOI":"10.1051\/m2an\/2025003","article-title":"High order Semi-IMEX BDF schemes for nonlinear partial integro-differential equations arising in finance","volume":"59","author":"Wang","year":"2025","journal-title":"ESAIM: Math. Model. Numer. Anal."},{"key":"10.1016\/j.matcom.2026.05.027_b16","article-title":"Penalty and penalty-like methods for nonlinear HJB PDEs","volume":"425","author":"Christara","year":"2022","journal-title":"Appl. Math. Comput."},{"key":"10.1016\/j.matcom.2026.05.027_b17","doi-asserted-by":"crossref","first-page":"247","DOI":"10.4208\/jms.v53n3.20.02","article-title":"Multigrid method for a two dimensional fully nonlinear Black-Scholes equation with a nonlinear volatility function","volume":"53","author":"Driouch","year":"2020","journal-title":"J. Math. Study"},{"key":"10.1016\/j.matcom.2026.05.027_b18","doi-asserted-by":"crossref","first-page":"2325","DOI":"10.1016\/j.laa.2010.03.034","article-title":"Circulant preconditioners for pricing options","volume":"434","author":"Pang","year":"2011","journal-title":"Linear Algebra Appl."},{"key":"10.1016\/j.matcom.2026.05.027_b19","doi-asserted-by":"crossref","first-page":"4365","DOI":"10.1016\/j.cam.2012.04.003","article-title":"Tri-diagonal preconditioner for pricing options","volume":"236","author":"Pang","year":"2012","journal-title":"J. Comput. Appl. Math."},{"issue":"4","key":"10.1016\/j.matcom.2026.05.027_b20","doi-asserted-by":"crossref","first-page":"1949","DOI":"10.1137\/060674697","article-title":"Numerical valuation of European and American options under Kou\u2019s jump-diffusion model","volume":"30","author":"Toivanen","year":"2008","journal-title":"SIAM J. Sci. Comput."},{"key":"10.1016\/j.matcom.2026.05.027_b21","doi-asserted-by":"crossref","first-page":"636","DOI":"10.1016\/j.camwa.2013.12.008","article-title":"Fast and efficient numerical methods for an extended Black\u2013Scholes model","volume":"67","author":"Bhowmik","year":"2014","journal-title":"Comput. Math. Appl."},{"key":"10.1016\/j.matcom.2026.05.027_b22","doi-asserted-by":"crossref","first-page":"2598","DOI":"10.1137\/090777529","article-title":"A second-order finite difference method for option pricing under jump-diffusion models","volume":"49","author":"Kwon","year":"2011","journal-title":"SIAM J. Numer. Anal."},{"key":"10.1016\/j.matcom.2026.05.027_b23","doi-asserted-by":"crossref","first-page":"33","DOI":"10.1016\/j.apnum.2014.05.007","article-title":"IMEX schemes for pricing options under jump\u2013diffusion models","volume":"84","author":"Salmi","year":"2014","journal-title":"Appl. Numer. Math."},{"issue":"6","key":"10.1016\/j.matcom.2026.05.027_b24","doi-asserted-by":"crossref","first-page":"2095","DOI":"10.1137\/S1064827500382324","article-title":"Quadratic convergence for valuing American options using a penalty method","volume":"23","author":"Forsyth","year":"2002","journal-title":"SIAM J. Sci. Comput."},{"key":"10.1016\/j.matcom.2026.05.027_b25","first-page":"349","article-title":"Jump diffusion options with transaction costs","volume":"52","author":"Mocioalca","year":"2007","journal-title":"Rev. Roum. Math. Pures. Appl."},{"key":"10.1016\/j.matcom.2026.05.027_b26","doi-asserted-by":"crossref","first-page":"1633","DOI":"10.1007\/s10915-017-0602-9","article-title":"A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models","volume":"75","author":"Lei","year":"2018","journal-title":"J. Sci. Comput."}],"container-title":["Mathematics and Computers in Simulation"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.elsevier.com\/content\/article\/PII:S0378475426002302?httpAccept=text\/xml","content-type":"text\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.elsevier.com\/content\/article\/PII:S0378475426002302?httpAccept=text\/plain","content-type":"text\/plain","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2026,6,14]],"date-time":"2026-06-14T16:29:43Z","timestamp":1781454583000},"score":1,"resource":{"primary":{"URL":"https:\/\/linkinghub.elsevier.com\/retrieve\/pii\/S0378475426002302"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026,11]]},"references-count":26,"alternative-id":["S0378475426002302"],"URL":"https:\/\/doi.org\/10.1016\/j.matcom.2026.05.027","relation":{},"ISSN":["0378-4754"],"issn-type":[{"value":"0378-4754","type":"print"}],"subject":[],"published":{"date-parts":[[2026,11]]},"assertion":[{"value":"Elsevier","name":"publisher","label":"This article is maintained by"},{"value":"A Newton\u2013Krylov method with a tridiagonal preconditioner for American option pricing under jump\u2013diffusion model with transaction costs","name":"articletitle","label":"Article Title"},{"value":"Mathematics and Computers in Simulation","name":"journaltitle","label":"Journal Title"},{"value":"https:\/\/doi.org\/10.1016\/j.matcom.2026.05.027","name":"articlelink","label":"CrossRef DOI link to publisher maintained version"},{"value":"article","name":"content_type","label":"Content Type"},{"value":"\u00a9 2026 International Association for Mathematics and Computers in Simulation (IMACS). Published by Elsevier B.V. All rights are reserved, including those for text and data mining, AI training, and similar technologies.","name":"copyright","label":"Copyright"}]}}