Multigrid method for pricing European options under the CGMY process
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PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- A novel pricing method for European options based on Fourier-cosine series expansions
- A penalty method for American options with jump diffusion processes
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- Black box multigrid
- Coarse-Grid Correction for Nonelliptic and Singular Perturbation Problems
- Convergence Analysis for a Class of High-Order Semi-Lagrangian Advection Schemes
- Downwind numbering: Robust multigrid for convection-diffusion problems
- Financial Modelling with Jump Processes
- scientific article; zbMATH DE number 3958638 (Why is no real title available?)
- Kernel Preserving Multigrid Methods for Convection-Diffusion Equations
- Multi-Level Adaptive Solutions to Boundary-Value Problems
- Multigrid for American option pricing with stochastic volatility
- Multigrid for High-Dimensional Elliptic Partial Differential Equations on Non-equidistant Grids
- Multigrid line smoothers for higher order upwind discretizations of convection- dominated problems
- Multigrid with matrix-dependent transfer operators for a singular perturbation problem
- Numerical valuation of options with jumps in the underlying
- On American Options Under the Variance Gamma Process
- On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options
- On multigrid for linear complementarity problems with application to American-style options
- On the Robustness of ILU Smoothing
- Robust multigrid methods for nonsmooth coefficient elliptic linear systems
- Robust numerical methods for contingent claims under jump diffusion processes
- Solution of the Euler equations for two dimensional transonic flow by a multigrid method
- Sparse Approximate Inverse Smoother for Multigrid
- Stochastic Volatility for Lévy Processes
- The Multi-Grid Method for the Diffusion Equation with Strongly Discontinuous Coefficients
- The Variance Gamma Process and Option Pricing
- Wavelet Galerkin pricing of American options on Lévy driven assets
Cited in
(6)- On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options
- Positive solutions of European option pricing with CGMY process models using double discretization difference schemes
- Numerical method for pricing discretely monitored double barrier option by orthogonal projection method
- The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing
- scientific article; zbMATH DE number 6453652 (Why is no real title available?)
- Accurate Evaluation of European and American Options Under the CGMY Process
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