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Convergence analysis of a multigrid algorithm for the acoustic single layer equation

✍ Scribed by S. Gemmrich; J. Gopalakrishnan; N. Nigam

Book ID
113461331
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
384 KB
Volume
62
Category
Article
ISSN
0168-9274

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In this paper we analyze the convergence properties of the Multigrid Method applied to the Black-Scholes differential equation arising in mathematical finance. We prove, for the discretized single-asset Black-Scholes equation, that the multigrid V -cycle possesses optimal convergence properties. Fur