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Fast and reliable pricing of American options with local volatility

Please always quote using this URN:urn:nbn:de:0296-matheon-3621
  • 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.

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Metadaten
Author:Ralf Forster, Ralf Kornhuber, Karin Mautner, Oliver Sander
URN:urn:nbn:de:0296-matheon-3621
Referee:Peter Deuflhard
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2006/10/19
Release Date:2006/10/18
Institute:Freie Universität Berlin
Zuse Institute Berlin (ZIB)
MSC-Classification:41-XX APPROXIMATIONS AND EXPANSIONS (For all approximation theory in the complex domain, see 30E05 and 30E10; for all trigonometric approximation and interpolation, see 42A10 and 42A15; for numerical approximation, see 65Dxx) / 41Axx Approximations and expansions / 41A10 Approximation by polynomials (For approximation by trigonometric polynomials, see 42A10)
65-XX NUMERICAL ANALYSIS / 65Dxx Numerical approximation and computational geometry (primarily algorithms) (For theory, see 41-XX and 68Uxx) / 65D25 Numerical differentiation
65-XX NUMERICAL ANALYSIS / 65Mxx Partial differential equations, initial value and time-dependent initial- boundary value problems / 65M55 Multigrid methods; domain decomposition
65-XX NUMERICAL ANALYSIS / 65Nxx Partial differential equations, boundary value problems / 65N30 Finite elements, Rayleigh-Ritz and Galerkin methods, finite methods
Preprint Number:352
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