An Adaptive Multigrid Technique For Option Pricing Under The Black Scholes Model
Work
Year: 2013
Type: article
Abstract: In this paper, we consider the adaptive multigrid method for solving the Black-Scholes equation to improve the efficiency of the option pricing. Adaptive meshing is generally regarded as an indispensa... more
Institutions Korea University, Gachon University
Cites: 50
Cited by: 5
Related to: 10
FWCI: 0.988
Citation percentile (by year/subfield): 69.95
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze