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

Hassan Al Moatassime, Aicha Driouch

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 method Black-Scholes equation multigrid method fully 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)

Cited In (1)

A distributed algorithm for European options with nonlinear volatility

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