Multigrid for American option pricing with stochastic volatility
- 1 September 1999
- journal article
- Published by Taylor & Francis in Applied Mathematical Finance
- Vol. 6 (3) , 177-195
- https://doi.org/10.1080/135048699334528
Abstract
The paper describes an implicit finite difference approach to the pricing of American options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic transformation of asset prices and adaptive time-stepping.American Option Pricing, Stochastic Volatility, Finite Difference Method, Multigrid, Strike-price Related Transformation, Adaptive Time-stepping,Keywords
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