Pages that link to "Item:Q1780893"

The following pages link to On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options'' (Q1780893):

Displaying 12 items.

• A practical finite difference method for the three-dimensional Black-Scholes equation (Q322864) (← links)
• Existence and uniqueness of martingale solutions to option pricing equations with noise (Q831331) (← links)
• Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation (Q904258) (← links)
• On coordinate transformation and grid stretching for sparse grid pricing of basket options (Q952093) (← links)
• The early exercise region for Bermudan options on two underlyings (Q970053) (← links)
• A cascadic multigrid algorithm for variational inequalities (Q1780881) (← links)
• Multigrid method for pricing European options under the CGMY process (Q2126958) (← links)
• An operator splitting method for multi-asset options with the Feynman-Kac formula (Q2693555) (← links)
• Adaptive finite differences and IMEX time-stepping to price options under Bates model (Q2804503) (← links)
• (Q5039647) (← links)
• Efficient numerical methods for pricing American options under stochastic volatility (Q5438239) (← links)
• Sparse grid time-discontinuous Galerkin method with streamline diffusion for transport equations (Q6114175) (← links)