Multigrid method for a two dimensional fully nonlinear Black-Scholes equation with a nonlinear volatility function (Q3385959)
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scientific article; zbMATH DE number 7295451
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| English | Multigrid method for a two dimensional fully nonlinear Black-Scholes equation with a nonlinear volatility function |
scientific article; zbMATH DE number 7295451 |
Statements
Multigrid Method for a Two Dimensional Fully Nonlinear Black-Scholes Equation with a Nonlinear Volatility Function (English)
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14 January 2021
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fully nonlinear equation
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multigrid method
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Black-Scholes equation
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finite difference method
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0.8976563215255737
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0.8187849521636963
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0.8148264288902283
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0.807402491569519
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0.8006531596183777
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