A multigrid preconditioner for an adaptive Black-Scholes solver
DOI10.1007/S10543-011-0316-6zbMATH Open1211.91251OpenAlexW2016008514MaRDI QIDQ533713FDOQ533713
Authors: Alison Ramage, Lina von Sydow 
Publication date: 4 May 2011
Published in: BIT (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10543-011-0316-6
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Numerical methods (including Monte Carlo methods) (91G60) Preconditioners for iterative methods (65F08) 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)
Cites Work
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- GMRES: A Generalized Minimal Residual Algorithm for Solving Nonsymmetric Linear Systems
- QMR: A quasi-minimal residual method for non-Hermitian linear systems
- Bi-CGSTAB: A Fast and Smoothly Converging Variant of Bi-CG for the Solution of Nonsymmetric Linear Systems
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- Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
- Space-time adaptive finite difference method for European multi-asset options
- A multigrid preconditioner for stabilised discretisations of advection-diffusion problems
- On multigrid for linear complementarity problems with application to American-style options
- Fourier Analysis of GMRES(m) Preconditioned by Multigrid
- A highly accurate adaptive finite difference solver for the Black-Scholes equation
- Pricing American options using a space-time adaptive finite difference method
- Implicit solution of hyerbolic equations with space-time adaptivity
- Fourier analysis of multigrid for a model two-dimensional convection-diffusion equation
- Title not available (Why is that?)
- Efficientd-multigrid preconditioners for sparse-grid solution of high-dimensional partial differential equations
Cited In (8)
- Pricing multi-asset option problems: a Chebyshev pseudo-spectral method
- Title not available (Why is that?)
- Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach
- An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options
- The multigrid algorithm applied to a degenerate equation: A convergence analysis
- Adaptive finite differences and IMEX time-stepping to price options under Bates model
- On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE
- On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options
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