# Multigrid for American option pricing with stochastic volatility

Tools

Clarke, Nigel and Parrott, Kevin
(1999)
*Multigrid for American option pricing with stochastic volatility.*
Applied Mathematical Finance, 6 (3).
pp. 177-195.
ISSN 1350-486X (Print), 1466-4313 (Online)
(doi:10.1080/135048699334528)

Official URL: http://dx.doi.org/10.1080/135048699334528

## Abstract

The paper describes an implicit finite difference approach to the pricing of American options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic transformation of asset prices and adaptive time-stepping.

Item Type: | Article |
---|---|

Uncontrolled Keywords: | American option pricing, stochastic volatility, finite difference method, multigrid, strike\-price related transformation, adaptive time\-stepping |

Subjects: | H Social Sciences > HB Economic Theory Q Science > QA Mathematics > QA76 Computer software |

Pre-2014 Departments: | School of Computing & Mathematical Sciences School of Computing & Mathematical Sciences > Centre for Numerical Modelling & Process Analysis School of Computing & Mathematical Sciences > Centre for Numerical Modelling & Process Analysis > Computational Mechanics & Reliability Group School of Computing & Mathematical Sciences > Centre for Numerical Modelling & Process Analysis > Computational Science & Engineering Group School of Computing & Mathematical Sciences > Computer & Computational Science Research Group School of Computing & Mathematical Sciences > Department of Computer Science School of Computing & Mathematical Sciences > Department of Mathematical Sciences |

Related URLs: | |

Last Modified: | 14 Oct 2016 09:00 |

URI: | http://gala.gre.ac.uk/id/eprint/312 |

### Actions (login required)

View Item |