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Title of Journal: Comput Visual Sci

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Abbravation: Computing and Visualization in Science

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Springer-Verlag

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DOI

10.1007/s12280-008-9058-1

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1433-0369

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Pricing European multiasset options using a space

Authors: Jonas Persson Lina von Persson
Publish Date: 2007/07/06
Volume: 10, Issue: 4, Pages: 173-183
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Abstract

In this paper we present an adaptive technique to solve the multidimensional Black–Scholes equation The number of gridpoints required for a given tolerance of the local discretization errors is reduced substantially when compared to a standard equidistant grid Using our adaptive methods in space and time we have control of the local discretization errors and can refine the grid where needed for accuracy reasons

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  1. A semi-Lagrangian scheme with radial basis approximation for surface reconstruction
  2. An efficient algorithm for Hamilton–Jacobi equations in high dimension
  3. Vorticity–velocity–pressure formulation for Navier–Stokes equations
  4. On an energy minimizing basis for algebraic multigrid methods
  5. Pricing European multi-asset options using a space-time adaptive FD-method
  6. Pricing European multi-asset options using a space-time adaptive FD-method
  7. Modelling and visualising the heart
  8. Tensor structured evaluation of singular volume integrals
  9. $$\mathcal $$-FAINV: hierarchically factored approximate inverse preconditioners
  10. Propagation and bifurcation of cracks based on implicit surfaces and discontinuous velocities
  11. Multiscale modelling of the circulatory system: a preliminary analysis
  12. A conserving discretization for a Stefan problem with an interface reaction at the free boundary
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