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Black-Scholes Variational Inequalities - Karin Mautner - Google Books

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The effective numerical treatment of Black-Scholes equations is among the key issues in mathematical finance. The most important strategy for pricing American...

Fast and Reliable Pricing of American Options with Local Volatility |...

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We present globally convergent multigrid methods for the nonsymmetric obstacle problems as arising from the discretization of Black—Scholes models of American...

OPUS 4 | Fast and reliable pricing of American options with local...

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We present globally convergent multigrid methods for the nonsymmetric obstacle problems as arising from the discretization of Black–Scholes models of...

Fast and reliable pricing of American options with local volatility -...

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1 Fast and reliable pricing of American options with local volatility Ralf Forster 1, Ralf Kornhuber 1, Karin Mautner, and Oliver Sander 1 1 FU Berlin, Institut für ...

Fast and Reliable Pricing of American Options with Local Volatilitywww.semanticscholar.org › paper › Fast-and-Reliabl...

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... Reliable Pricing of American Options with Local Volatility}, author={Ralf Forster and Ralf Kornhuber and Karin Mautner and Oliver Sander}, year={2008} }.

FUB Math: Preprints Serie A 2006

www.math.fu-berlin.de

A : Ralf Forster, Ralf Kornhuber, Karin Mautner, Oliver Sander: Fast and reliable pricing of American options with local volatility. A

DC MetaData for: Fast and reliable pricing of American options with...

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Ralf Forster, Ralf Kornhuber, Karin Mautner, Oliver Sander. Fast and reliable pricing of American options with local volatility. Abstract: We present globally ...

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