MATHICSE Institute of Mathematics School of Basic Sciences EPFL - SB – INSTITUTE o f MATHEMATIC S – Ma thic se (Bâ time nt MA) Sta tio n 8 - C H-1015 - La usa nne - Switze rla nd http :/ / m a thic se .e p fl.c h Ad d re ss: Inc re m e nta l c o m p uta tio n o f b lo c k tria ng ula r ma trix e xp o ne ntia ls w ith a p p lic a tio n to o p tio n p ric ing Daniel Kressner, Robert Luce, Francesco Statti MATHICSE Te c hnic a l Re p o rt Nr. 05.2017 Marc h 2017