Geodesic
On multigrid for linear complementarity problems with application to American-style options
Electronic transactions on numerical analysis, Tome 15 (2003), pp. 165-185.

Voir la notice de l'article provenant de la source Electronic Library of Mathematics

Summary: We discuss a nonlinear multigrid method for a linear complementarity problem. The convergence is improved by a recombination of iterants. The problem under consideration deals with option pricing from mathematical finance. Linear complementarity problems arise from so-called American-style options. A 2D convectiondiffusion type operator is discretized with the help of second order upwind discretizations.
Classification : 65M55, 65F99, 90A09
Keywords: linear complementarity problems, american-style options, nonlinear multigrid, projected Gauss- seidel, iterant recombination, second-order upwind discretization, Fourier analysis 
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     title = {On multigrid for linear complementarity problems with application to {American-style} options},
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Oosterlee, C.W. On multigrid for linear complementarity problems with application to American-style options. Electronic transactions on numerical analysis, Tome 15 (2003), pp. 165-185. http://geodesic.mathdoc.fr/item/ETNA_2003__15__a2/