On multigrid for linear complementarity problems with application to American-style options

zbMath1031.65072MaRDI QIDQ1407712

Cornelis W. Oosterlee

Publication date: 17 September 2003

Published in: ETNA. Electronic Transactions on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/123267

zbMATH Keywords

convergenceconvection-diffusion equationnumerical exampleslinear complementarity problemsnonlinear multigridprojected Gauss-SeidelAmerican-style optionssecond-order upwind discretizationsiterant recombination

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical mathematical programming methods (65K05) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Microeconomic theory (price theory and economic markets) (91B24) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Initial value problems for second-order parabolic equations (35K15) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55)

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