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Article Dans Une Revue Annals of the University of Craiova, Mathematics and Computer Science Series Année : 2020

Multigrid Method for a Fully Nonlinear Black-Scholes Equation

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Résumé

In this work, we present a multigrid approach for a fully nonlinear Black-Scholes equation arising in the modeling of markets frictions resulting from transaction costs. We consider a V-cycle method in order to minimize the computational cost of the numerical solution. The purpose of this paper is to show the effectiveness of multigrid approach for solving a fully nonlinear Black-Scholes problem. \textcopyright 2020, University of Craiova.
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Dates et versions

hal-03704087 , version 1 (24-06-2022)

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  • HAL Id : hal-03704087 , version 1

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Aïcha Driouch, H. Al Moatassime. Multigrid Method for a Fully Nonlinear Black-Scholes Equation. Annals of the University of Craiova, Mathematics and Computer Science Series, 2020, 47 (1), pp.25--34. ⟨hal-03704087⟩
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