Multigrid method for a two dimensional fully nonlinear Black-Scholes equation with a nonlinear volatility function
DOI10.4208/JMS.V53N3.20.02zbMATH Open1463.65402OpenAlexW3031698536WikidataQ113249366 ScholiaQ113249366MaRDI QIDQ3385959FDOQ3385959
Authors: Aicha Driouch, Hassan Al Moatassime 
Publication date: 14 January 2021
Published in: Journal of Mathematical Study (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4208/jms.v53n3.20.02
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Multigrid methods; domain decomposition for boundary value problems involving PDEs (65N55) Finite difference methods for boundary value problems involving PDEs (65N06)
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