Fast and Reliable Pricing of American Options with Local Volatility

Research output: Contribution to book/conference proceedings/anthology/reportConference contributionContributedpeer-review

Contributors

  • Ralf Forster - , Free University of Berlin (Author)
  • Ralf Kornhuber - , Free University of Berlin (Author)
  • Karin Mautner - , Humboldt University of Berlin (Author)
  • Oliver Sander - , Free University of Berlin (Author)

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 languageEnglish
Title of host publicationDomain Decomposition Methods in Science and Engineering XVII
PublisherSpringer, Berlin [u. a.]
Pages383-390
Publication statusPublished - 2008
Peer-reviewedYes
Externally publishedYes

External IDs

Scopus 78651578436
ORCID /0000-0003-1093-6374/work/147143090