On multigrid for anisotropic equations and variational inequalities “Pricing multi-dimensional European and American options”

By Christoph Reisinger, G. Wittum. 2004

54 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/c52864f0710272dfbcd6fe14d59f168e42cafa6e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Carl Chiarella
2. Boda Kang
3. Andrew Ziogas
4. Gunter H. Meyer
5. Samuli Ikonen
6. Jari Toivanen
7. Xue-zhong He
8. Cars H. Hommes

In Management Science and Operations Research

1. Carl Chiarella
2. Samuli Ikonen
3. Jari Toivanen
4. Boda Kang
5. Andrew Ziogas
6. Gunter H. Meyer

Citations in the corpus

• The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines (2009, methodology): “Ikonen & Toivanen (2004, 2007) use a finite difference approach featuring operator splitting, and there are several examples featuring multi-grid finite difference methods, including Clarke & Parrott (1999), Oosterlee (2003) and Reisinger & Wittum (2004).”
• COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY (2007, background): “For the pricing of options with multiple underlying assets PFAS has been considered in [29].”