A multigrid preconditioner for an adaptive Black-Scholes solver

Author:

Ramage Alison,von Sydow Lina

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Computational Mathematics,Computer Networks and Communications,Software

Reference22 articles.

1. Christara, C., Dang, D.: Adaptive and high-order methods for valuing American options. J. Comput. Financ. (2010, to appear). http://ssrn.com/abstract=1598948

2. Elman, H., Ramage, A.: Fourier analysis of multigrid for a model two-dimensional convection-diffusion equation. BIT Numer. Math. 46, 283–299 (2006)

3. Freund, R., Nachtigal, N.: QMR: a Quasi-Minimal Residual method for non-Hermitian linear systems. Numer. Math. 60, 315–339 (1991)

4. Greenbaum, A.: Iterative Methods for Solving Linear Systems. SIAM, Philadelphia (1997)

5. Hackbusch, W.: Multi-grid Methods and Applications. Springer, New York (1980)

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