Fast and Reliable Pricing of American Options with Local Volatility
Research output: Contribution to book/Conference proceedings/Anthology/Report › Conference contribution › Contributed › peer-review
Contributors
Abstract
We present globally convergent multigrid methods for the nonsymmetric obstacle problems as arising from the discretization of Black—Scholes models of American options with local volatilities and discrete data. No tuning or regularization parameters occur. Our approach relies on symmetrization by transformation and data recovery by superconvergence.
Details
Original language | English |
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Title of host publication | Domain Decomposition Methods in Science and Engineering XVII |
Publisher | Springer, Berlin [u. a.] |
Pages | 383-390 |
Publication status | Published - 2008 |
Peer-reviewed | Yes |
Externally published | Yes |
External IDs
Scopus | 78651578436 |
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ORCID | /0000-0003-1093-6374/work/147143090 |