A multigrid preconditioner for an adaptive Black-Scholes solver

DOI10.1007/s10543-011-0316-6zbMath1211.91251OpenAlexW2016008514MaRDI QIDQ533713

Lina von Sydow, Alison Ramage

Publication date: 4 May 2011

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10543-011-0316-6

zbMATH Keywords

option pricingpreconditioningfinite differencesmultigridadaptive grids

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55) Preconditioners for iterative methods (65F08)

Related Items (5)

An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options ⋮ On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE ⋮ Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach ⋮ Pricing multi-asset option problems: a Chebyshev pseudo-spectral method ⋮ Adaptive finite differences and IMEX time-stepping to price options under Bates model

Uses Software

• RODAS
• Wesseling

Cites Work

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• Space-time adaptive finite difference method for European multi-asset options
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• GMRES: A Generalized Minimal Residual Algorithm for Solving Nonsymmetric Linear Systems
• Bi-CGSTAB: A Fast and Smoothly Converging Variant of Bi-CG for the Solution of Nonsymmetric Linear Systems
• Fourier Analysis of GMRES(m) Preconditioned by Multigrid
• Efficientd-multigrid preconditioners for sparse-grid solution of high-dimensional partial differential equations
• Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
• A highly accurate adaptive finite difference solver for the Black–Scholes equation

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