A MULTILEVEL APPROACH TO SOLVING THE BLACK–SCHOLES EQUATION
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Publication:3580216
DOI10.1142/S0219024910005826zbMath1233.91316MaRDI QIDQ3580216
Alfonso Limon, Hedley C. Morris
Publication date: 11 August 2010
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024910005826
91G60: Numerical methods (including Monte Carlo methods)
65T60: Numerical methods for wavelets
91G20: Derivative securities (option pricing, hedging, etc.)
65M55: Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs
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