A multigrid preconditioner for an adaptive Black-Scholes solver
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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)
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Cites work
- scientific article; zbMATH DE number 3688623 (Why is no real title available?)
- scientific article; zbMATH DE number 53856 (Why is no real title available?)
- scientific article; zbMATH DE number 1049350 (Why is no real title available?)
- scientific article; zbMATH DE number 1953446 (Why is no real title available?)
- scientific article; zbMATH DE number 940566 (Why is no real title available?)
- A highly accurate adaptive finite difference solver for the Black-Scholes equation
- A multigrid preconditioner for stabilised discretisations of advection-diffusion problems
- Bi-CGSTAB: A Fast and Smoothly Converging Variant of Bi-CG for the Solution of Nonsymmetric Linear Systems
- Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
- Efficientd-multigrid preconditioners for sparse-grid solution of high-dimensional partial differential equations
- Fourier Analysis of GMRES(m) Preconditioned by Multigrid
- Fourier analysis of multigrid for a model two-dimensional convection-diffusion equation
- GMRES: A Generalized Minimal Residual Algorithm for Solving Nonsymmetric Linear Systems
- Implicit solution of hyerbolic equations with space-time adaptivity
- On multigrid for linear complementarity problems with application to American-style options
- Pricing American options using a space-time adaptive finite difference method
- QMR: A quasi-minimal residual method for non-Hermitian linear systems
- Space-time adaptive finite difference method for European multi-asset options
Cited in
(10)- Pricing multi-asset option problems: a Chebyshev pseudo-spectral method
- An adaptive multigrid technique for option pricing under the Black-Scholes model
- scientific article; zbMATH DE number 1453365 (Why is no real title available?)
- 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
- Fast and efficient numerical methods for an extended Black-Scholes model
- 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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