A multigrid preconditioner for an adaptive Black-Scholes solver
type: Item
instance of: scholarly article
title: A multigrid preconditioner for an adaptive Black-Scholes solver
zbMATH Open document ID: 1211.91251
author: Alison Ramage
author: Lina von Sydow
published in: BIT
publication date: 2011-05-04T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 65F08
Mathematics Subject Classification ID: 65M55
zbMATH DE Number: 5883652
zbMATH Keywords: finite differences
zbMATH Keywords: multigrid
zbMATH Keywords: preconditioning
zbMATH Keywords: option pricing
zbMATH Keywords: adaptive grids
describes a project that uses: Wesseling
describes a project that uses: RODAS
MaRDI profile type: Publication
full work available at URL: s10543-011-0316-6
OpenAlex ID: W2016008514
cites work: Fourier analysis of multigrid for a model two-dimensional convection-diffusion equation
cites work: QMR: A quasi-minimal residual method for non-Hermitian linear systems
cites work: Q4348514
cites work: Q3883411
cites work: Q4714145
cites work: A highly accurate adaptive finite difference solver for the Black–Scholes equation
cites work: Space-time adaptive finite difference method for European multi-asset options
cites work: Implicit solution of hyerbolic equations with space-time adaptivity
cites work: On multigrid for linear complementarity problems with application to American-style options
cites work: Pricing American options using a space-time adaptive finite difference method
cites work: A multigrid preconditioner for stabilised discretisations of advection-diffusion problems
cites work: Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
cites work: Q4414855
cites work: GMRES: A Generalized Minimal Residual Algorithm for Solving Nonsymmetric Linear Systems
cites work: Bi-CGSTAB: A Fast and Smoothly Converging Variant of Bi-CG for the Solution of Nonsymmetric Linear Systems
cites work: Q4004051
cites work: Fourier Analysis of GMRES(m) Preconditioned by Multigrid
cites work: Efficientd-multigrid preconditioners for sparse-grid solution of high-dimensional partial differential equations
DOI: 10.1007/S10543-011-0316-6
description: scientific article; zbMATH DE number 5883652