On multigrid for linear complementarity problems with application to American-style options
American-style optionsconvection-diffusion equationconvergenceiterant recombinationlinear complementarity problemsnonlinear multigridnumerical examplesprojected Gauss-Seidelsecond-order upwind discretizations
Initial value problems for second-order parabolic equations (35K15) Numerical mathematical programming methods (65K05) 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) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Microeconomic theory (price theory and economic markets) (91B24) Numerical methods (including Monte Carlo methods) (91G60)
- On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options
- Résolution Numérique De Problèmes De Complémentarité Linéaire Et Évaluation D'Options Américaines
- On the solution of complementarity problems arising in American options pricing
- Multigrid for American option pricing with stochastic volatility
- A two-grid penalty method for American options
- Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility
- Operator splitting methods for American option pricing.
- On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options
- Accurate numerical method for pricing two-asset American put options
- Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
- Pricing European and American options under Heston model using discontinuous Galerkin finite elements
- A quick operator splitting method for option pricing
- 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
- A semi-Lagrangian mixed finite element method for advection-diffusion variational inequalities
- Multigrid method for pricing European options under the CGMY process
- An efficient numerical method for the valuation of American multi-asset options
- A modulus-based multigrid method for nonlinear complementarity problems with application to free boundary problems with nonlinear source terms
- A robust spectral method for solving Heston's model
- Space-time adaptive finite difference method for European multi-asset options
- Multilevel preconditioning for variational problems
- An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
- Steepest descent preconditioning for nonlinear GMRES optimization
- Fast and reliable pricing of American options with local volatility
- Pricing exotic options and American options: a multidimensional asymptotic expansion approach
- Numerical methods for dynamic Bertrand oligopoly and American options under regime switching
- High-order filtered schemes for time-dependent second order HJB equations
- ADI schemes for pricing American options under the Heston model
- PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME
- A finite volume-alternating direction implicit method for the valuation of American options under the Heston model
- Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
- An ADI sparse grid method for pricing efficiently American options under the Heston model
- A componentwise splitting method for pricing American options under the Bates model
- A multigrid preconditioner for an adaptive Black-Scholes solver
- Parallel two-grid semismooth Newton-Krylov-Schwarz method for nonlinear complementarity problems
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
- Convergence properties of nonlinear GMRES applied to linear systems
- A particle-mesh operator splitting framework for American option pricing under stochastic volatility
- A mixed finite element method for convection-diffusion complementarity problems
- A mixed finite element method for pricing American options and greeks in the Heston model
- Pricing American real options with double continuation region under Heston model
- Operator splitting methods for pricing American options under stochastic volatility
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
- Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
- On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
- A fast Fourier transform technique for pricing American options under stochastic volatility
- Pricing American options using a space-time adaptive finite difference method
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