Multiscale methods for the valuation of American options with stochastic volatility

Kunoth, AngelaSchneider, ChristianWiechers, Katharina2016-06-212016-06-212011-09https://hdl.handle.net/11299/1811321 online resource (PDF, 20 pages, includes illustrations)enAmerican option pricingStochastic volatilityParabolic boundary value problemFree boundaryMonotone multigrid methodMultigrid efficiency(MSC2010)65M55(MSC2010)35J86(MSC2010)65N30(MSC2010)65D07(MSC2010)91B70Multiscale methods for the valuation of American options with stochastic volatilityPreprint