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On multigrid for anisotropic equations and variational inequalities Pricing multi-dimensional European and American options
Christoph Reisinger,
Gabriel Wittum
Computer, Electrical and Mathematical Science and Engineering
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Mathematics
European Options
American Options
Pricing
Variational Inequalities
Grid
Optimal Stopping Time
Black-Scholes
Transfer Operator
Complementarity
Linear Process
Partial Differential Operators
Anisotropy
Linear Complementarity Problem
Discrete Equations
Finance
Approximation Scheme
Free Boundary
Vanish
Stochastic Processes
Numerical Experiment
Strategy
Zero
Coefficient
Engineering & Materials Science
Finance
Random processes
Anisotropy
Mathematical operators
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