Multigrid method for pricing European options under the CGMY process
DOI10.3934/math.2019.6.1745zbMath1486.91095OpenAlexW2997446165MaRDI QIDQ2126958
Publication date: 19 April 2022
Published in: AIMS Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/math.2019.6.1745
Numerical methods (including Monte Carlo methods) (91G60) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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