On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options
From MaRDI portal
Publication:1780893
DOI10.1007/s00791-004-0149-9zbMath1111.91019MaRDI 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
65K05: Numerical mathematical programming methods
65K10: Numerical optimization and variational techniques
49J40: Variational inequalities
90C33: Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming)
65M55: Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs
Related Items
COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY, Efficient numerical methods for pricing American options under stochastic volatility, On coordinate transformation and grid stretching for sparse grid pricing of basket options, The early exercise region for Bermudan options on two underlyings, A cascadic multigrid algorithm for variational inequalities, THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
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