An adaptive multigrid technique for option pricing under the Black-Scholes model
From MaRDI portal
(Redirected from Publication:5258019)
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) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Recommendations
- A multigrid preconditioner for an adaptive Black-Scholes solver
- Option pricing with a direct adaptive sparse grid approach
- An adaptive finite difference method using far-field boundary conditions for the Black-Scholes equation
- Multigrid method for a fully nonlinear Black-Scholes equation
- Multigrid for American option pricing with stochastic volatility
Cited in
(9)- The multigrid algorithm applied to a degenerate equation: A convergence analysis
- Multigrid method for pricing European options under the CGMY process
- Adaptive integration and approximation over hyper-rectangular regions with applications to basket option pricing
- A multilevel approach to solving the Black-Scholes equation
- Option pricing with a direct adaptive sparse grid approach
- scientific article; zbMATH DE number 1453365 (Why is no real title available?)
- Multigrid method for a fully nonlinear Black-Scholes equation
- FAST ANDROID IMPLIMENTATION OF MONTE CARLO SIMULATION FOR PRICING EQUITY-LINKED SECURITIES
- A multigrid preconditioner for an adaptive Black-Scholes solver
This page was built for publication: An adaptive multigrid technique for option pricing under the Black-Scholes model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5258019)
