The convergence of diagonal elements of an irreducible symmetric tridiagonal matrix under QL algorithm with some kinds of shift is discussed. It is proved that if α₁—σ→0 and βj→0, j = 1, 2, ···, m, ...

Pricing Discrete Barrier and Hindsight Options with the Tridiagonal Probability Algorithm Wai Man Tse, Leong Kwan Li and Kai Wang Ng Management Science , pp. 383-393 (11 pages) ...