AN ADAPTIVE MULTIGRID TECHNIQUE FOR OPTION PRICING UNDER THE BLACK-SCHOLES MODEL

DOI10.12941/jksiam.2013.17.295zbMath1316.91035OpenAlexW2128426238MaRDI QIDQ5258019

Darae Jeong, Kyoung-Sook Moon, Junseok Kim, Yongho Choi, Yibao Li

Publication date: 25 June 2015

Published in: Journal of the Korea Society for Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/4242011cbb8b5ee4a140df497773501a0ad73bfc

zbMATH Keywords

option pricingadaptive mesh refinementmultigrid methodCrank-Nicolson schemeBlack-Scholes equations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55)

Related Items (1)

FAST ANDROID IMPLIMENTATION OF MONTE CARLO SIMULATION FOR PRICING EQUITY-LINKED SECURITIES

Uses Software

• Wesseling

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