An adaptive multigrid technique for option pricing under the Black-Scholes model
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Publication:5258019
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55)
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Cited in
(9)- A multigrid preconditioner for an adaptive Black-Scholes solver
- Adaptive integration and approximation over hyper-rectangular regions with applications to basket option pricing
- Multigrid method for a fully nonlinear Black-Scholes equation
- scientific article; zbMATH DE number 1453365 (Why is no real title available?)
- Multigrid method for pricing European options under the CGMY process
- Option pricing with a direct adaptive sparse grid approach
- The multigrid algorithm applied to a degenerate equation: A convergence analysis
- A multilevel approach to solving the Black-Scholes equation
- FAST ANDROID IMPLIMENTATION OF MONTE CARLO SIMULATION FOR PRICING EQUITY-LINKED SECURITIES
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