AN ADAPTIVE MULTIGRID TECHNIQUE FOR OPTION PRICING UNDER THE BLACK-SCHOLES MODEL (Q5258019)
From MaRDI portal
scientific article; zbMATH DE number 6450359
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | AN ADAPTIVE MULTIGRID TECHNIQUE FOR OPTION PRICING UNDER THE BLACK-SCHOLES MODEL |
scientific article; zbMATH DE number 6450359 |
Statements
AN ADAPTIVE MULTIGRID TECHNIQUE FOR OPTION PRICING UNDER THE BLACK-SCHOLES MODEL (English)
0 references
25 June 2015
0 references
adaptive mesh refinement
0 references
multigrid method
0 references
Black-Scholes equations
0 references
Crank-Nicolson scheme
0 references
option pricing
0 references
