An adaptive multigrid technique for option pricing under the Black-Scholes model
DOI10.12941/JKSIAM.2013.17.295zbMATH Open1316.91035OpenAlexW2128426238MaRDI QIDQ5258019FDOQ5258019
Authors: Darae Jeong, Yibao Li, Yongho Choi, Kyoung-Sook Moon, Junseok Kim 
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
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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)
Cited In (9)
- Adaptive integration and approximation over hyper-rectangular regions with applications to basket option pricing
- A multigrid preconditioner for an adaptive Black-Scholes solver
- Multigrid method for a fully nonlinear Black-Scholes equation
- Title not available (Why is that?)
- 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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