A multigrid preconditioner for an adaptive Black-Scholes solver
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Publication:533713
DOI10.1007/s10543-011-0316-6zbMath1211.91251OpenAlexW2016008514MaRDI QIDQ533713
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
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) Preconditioners for iterative methods (65F08)
Related Items (5)
An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options ⋮ On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE ⋮ Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach ⋮ Pricing multi-asset option problems: a Chebyshev pseudo-spectral method ⋮ Adaptive finite differences and IMEX time-stepping to price options under Bates model
Uses Software
Cites Work
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