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On multigrid for anisotropic equations and variational inequalities: pricing multi-dimensional European and American options

Abstract:

Partial differential operators in finance often originate in bounded linear stochastic processes. As a consequence, diffusion over these boundaries is zero and the corresponding coefficients vanish. The choice of parameters and stretched grids lead to additional anisotropies in the discrete equations or inequalities. In this study various block smoothers are tested in numerical experiments for equations of Black–Scholes-type (European options) in several dimensions. For linear complementarity...

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Publication date:
2004-10-01
UUID:
uuid:6b67ac1d-e0cb-42c0-b1a3-4b38fe5d5b2b
Local pid:
oai:eprints.maths.ox.ac.uk:237
Deposit date:
2011-05-19

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