Repository: Freie Universität Berlin, Math Department

Fast and reliable pricing of American options with local volatility

Forster, R. and Kornhuber, R. and Mautner, K. and Sander, O. (2008) Fast and reliable pricing of American options with local volatility. In: Domain Decomposition Methods in Science and Engineering XVII. Lecture Notes in Computational Science and Engineering, 60 . Springer Berlin Heidelberg, pp. 383-390. ISBN 978-3-540-75198-4


Official URL:


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.

Item Type:Book Section
Subjects:Mathematical and Computer Sciences > Mathematics > Numerical Analysis
Divisions:Department of Mathematics and Computer Science > Institute of Mathematics
ID Code:1810
Deposited By: Ekaterina Engel
Deposited On:19 Feb 2016 09:07
Last Modified:03 Mar 2017 14:41

Repository Staff Only: item control page