Multigrid method for a two dimensional fully nonlinear Black-Scholes equation with a nonlinear volatility function

DOI10.4208/JMS.V53N3.20.02MaRDI QIDQ3385959zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

finite difference methodBlack-Scholes equationmultigrid methodfully nonlinear equation

Mathematics Subject Classification ID

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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• Two-grid decoupled method for a Black-Scholes increased market volatility model
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• A distributed algorithm for European options with nonlinear volatility

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