Geodesic
On multigrid for linear complementarity problems with application to American-style options
Electronic transactions on numerical analysis, Tome 15 (2003), pp. 165-185
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 
@article{ETNA_2003__15__a2,
     author = {Oosterlee,  C.W.},
     title = {On multigrid for linear complementarity problems with application to {American-style} options},
     journal = {Electronic transactions on numerical analysis},
     pages = {165--185},
     year = {2003},
     volume = {15},
     zbl = {1031.65072},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/ETNA_2003__15__a2/}
}
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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/