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

DOI10.1007/S00791-004-0149-9zbMath1111.91019OpenAlexW2032122745MaRDI 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

Numerical mathematical programming methods (65K05) Numerical optimization and variational techniques (65K10) Variational inequalities (49J40) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55)

Related Items (16)

Multigrid method for pricing European options under the CGMY process ⋮ Existence and uniqueness of martingale solutions to option pricing equations with noise ⋮ COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY ⋮ A practical finite difference method for the three-dimensional Black-Scholes equation ⋮ Perpetual Options on Multiple Underlyings ⋮ Sparse grid time-discontinuous Galerkin method with streamline diffusion for transport equations ⋮ Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation ⋮ An operator splitting method for multi-asset options with the Feynman-Kac formula ⋮ Unnamed Item ⋮ A highly parallel Black–Scholes solver based on adaptive sparse grids ⋮ On coordinate transformation and grid stretching for sparse grid pricing of basket options ⋮ The early exercise region for Bermudan options on two underlyings ⋮ Efficient numerical methods for pricing American options under stochastic volatility ⋮ A cascadic multigrid algorithm for variational inequalities ⋮ Adaptive finite differences and IMEX time-stepping to price options under Bates model ⋮ THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES

Cites Work

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• 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

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