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Search: subject:"Multigrid methods"
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Multigrid methods
2
Algebraic multigrid methods
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American option pricing
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Black-Scholes model
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Parabolic partial differential equations
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Semismooth Newton method
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Akian, Marianne
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Borzì, A.
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Chen, Yingzi
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Menaldi, Jose Luis
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Computational Optimization and Applications
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ECONIS (ZBW)
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An efficient algorithm for options under Merton’s jump-diffusion model on nonuniform grids
Chen, Yingzi
;
Wang, Wansheng
;
Xiao, Aiguo
- In:
Computational economics
53
(
2019
)
4
,
pp. 1565-1591
Persistent link: https://www.econbiz.de/10012135577
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2
Multigrid second-order accurate solution of parabolic control-constrained problems
Andrade, S. González
;
Borzì, A.
- In:
Computational Optimization and Applications
51
(
2012
)
2
,
pp. 835-866
Persistent link: https://www.econbiz.de/10010998289
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3
Multi-asset portfolio selection problem with transaction costs
Akian, Marianne
;
Menaldi, Jose Luis
;
Sulem, Agnès
- In:
Mathematics and Computers in Simulation (MATCOM)
38
(
1995
)
1
,
pp. 163-172
algorithm based on policies iterations and
multigrid
methods
. Numerical results are displayed for n = 1 and n = 2. …
Persistent link: https://www.econbiz.de/10010750223
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