On multigrid for linear complementarity problems with application to American-style options

MaRDI QIDQ1407712zbMATH OpenFDO

Authors Cornelis W. Oosterlee

Publication date 17 September 2003

Published in ETNA - Electronic Transactions on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/123267, http://etna.mcs.kent.edu/vol.15.2003/pp165-185.dir/pp165-185.html

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zbMATH Keywords

convergencenumerical exampleslinear complementarity problemsconvection-diffusion equationnonlinear multigridprojected Gauss-SeidelAmerican-style optionssecond-order upwind discretizationsiterant recombination

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Numerical methods (including Monte Carlo methods) (91G60) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Initial value problems for second-order parabolic equations (35K15) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55) Microeconomic theory (price theory and economic markets) (91B24)

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Cited in

(36)

• On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
• A multigrid preconditioner for an adaptive Black-Scholes solver
• Multilevel preconditioning for variational problems
• An ADI sparse grid method for pricing efficiently American options under the Heston model
• An efficient numerical method for the valuation of American multi-asset options
• Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility
• ADI schemes for pricing American options under the Heston model
• A robust spectral method for solving Heston's model
• Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
• Multigrid method for pricing European options under the CGMY process
• A modulus-based multigrid method for nonlinear complementarity problems with application to free boundary problems with nonlinear source terms
• Operator splitting methods for pricing American options under stochastic volatility
• A quick operator splitting method for option pricing
• An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
• PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME
• High-order filtered schemes for time-dependent second order HJB equations
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
• Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
• Parallel two-grid semismooth Newton-Krylov-Schwarz method for nonlinear complementarity problems
• Fast and reliable pricing of American options with local volatility
• Steepest descent preconditioning for nonlinear GMRES optimization
• Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
• Numerical methods for dynamic Bertrand oligopoly and American options under regime switching
• Pricing European and American options under Heston model using discontinuous Galerkin finite elements
• Pricing exotic options and American options: a multidimensional asymptotic expansion approach
• A fast Fourier transform technique for pricing American options under stochastic volatility
• Accurate numerical method for pricing two-asset American put options
• Operator splitting methods for American option pricing.
• On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options
• A finite volume-alternating direction implicit method for the valuation of American options under the Heston model
• A componentwise splitting method for pricing American options under the Bates model
• Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization
• Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
• Pricing American options using a space-time adaptive finite difference method
• A semi-Lagrangian mixed finite element method for advection-diffusion variational inequalities
• Space-time adaptive finite difference method for European multi-asset options

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