On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options

DOI10.1007/s00791-004-0149-9zbMath1111.91019MaRDI QIDQ1780893

Gabriel Wittum, Christoph Reisinger

Publication date: 14 June 2005

Published in: Computing and Visualization in Science (Search for Journal in Brave)

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:6b67ac1d-e0cb-42c0-b1a3-4b38fe5d5b2b

Mathematics Subject Classification ID

65K05: Numerical mathematical programming methods

65K10: Numerical optimization and variational techniques

49J40: Variational inequalities

90C33: Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming)

65M55: Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs

Related Items

COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY, Efficient numerical methods for pricing American options under stochastic volatility, On coordinate transformation and grid stretching for sparse grid pricing of basket options, The early exercise region for Bermudan options on two underlyings, A cascadic multigrid algorithm for variational inequalities, THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• A GMRES-based plane smoother in multigrid to solve 3D anisotropic fluid flow problems
• Analysis and numerical studies of a problem of shape design
• A cascadic multigrid algorithm for variational inequalities
• Multi-factor financial derivatives on finite domains
• Multigrid Algorithms for the Solution of Linear Complementarity Problems Arising from Free Boundary Problems
• Bi-CGSTAB: A Fast and Smoothly Converging Variant of Bi-CG for the Solution of Nonsymmetric Linear Systems
• Multigrid for American option pricing with stochastic volatility
• The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation