TY - GEN A1 - Forster, Ralf A1 - Kornhuber, Ralf A1 - Mautner, Karin A1 - Sander, Oliver T1 - Fast and reliable pricing of American options with local volatility N2 - 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. Y1 - 2006 UR - https://opus4.kobv.de/opus4-matheon/frontdoor/index/index/docId/362 UR - https://nbn-resolving.org/urn:nbn:de:0296-matheon-3621 ER -