AN ADAPTIVE MULTIGRID TECHNIQUE FOR OPTION PRICING UNDER THE BLACK-SCHOLES MODEL (Q5258019): Difference between revisions
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scientific article; zbMATH DE number 6450359
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | AN ADAPTIVE MULTIGRID TECHNIQUE FOR OPTION PRICING UNDER THE BLACK-SCHOLES MODEL |
scientific article; zbMATH DE number 6450359 |
Statements
AN ADAPTIVE MULTIGRID TECHNIQUE FOR OPTION PRICING UNDER THE BLACK-SCHOLES MODEL (English)
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25 June 2015
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adaptive mesh refinement
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multigrid method
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Black-Scholes equations
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Crank-Nicolson scheme
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option pricing
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