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

Computing and Visualization in Science

Volumn 7, Issue 3-4, 2004, Pages 189-197

  Reisinger, Christoph ^a   Wittum, Gabriel ^a  

^a UNIVERSITY OF HEIDELBERG   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

MATHEMATICAL OPERATORS; RANDOM PROCESSES; VARIATIONAL TECHNIQUES;

CHOICE OF PARAMETERS; DISCRETE EQUATIONS; FULL APPROXIMATION SCHEMES; LINEAR COMPLEMENTARITY PROBLEMS; NUMERICAL EXPERIMENTS; OPTIMAL STOPPING TIME; PARTIAL DIFFERENTIAL OPERATORS; VARIATIONAL INEQUALITIES;

ANISOTROPY;

EID: 33847416461     PISSN: 14329360     EISSN: 14330369     Source Type: Journal    
DOI: 10.1007/s00791-004-0149-9     Document Type: Conference Paper

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