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Pricing European multi-asset options using a space-time adaptive FD-method

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Computing and Visualization in Science

An Erratum to this article was published on 23 August 2007

Abstract

In this paper we present an adaptive technique to solve the multi-dimensional Black–Scholes equation. The number of grid-points required for a given tolerance of the local discretization errors is reduced substantially when compared to a standard equidistant grid. Using our adaptive methods in space and time we have control of the local discretization errors and can refine the grid where needed for accuracy reasons.

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Authors and Affiliations

  1. Department of Information Technology, Scientific Computing, Uppsala University, Box 337, 75105, Uppsala, Sweden

    Jonas Persson & Lina von Persson

Authors
  1. Jonas Persson
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  2. Lina von Persson
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Corresponding author

Correspondence to Jonas Persson.

Additional information

Communicated by G. Wittum.

Funded by FMB, the Graduate School in Mathematics and Computing.

An erratum to this article can be found at http://dx.doi.org/10.1007/s00791-007-0076-7

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Persson, J., von Persson, L. Pricing European multi-asset options using a space-time adaptive FD-method. Comput. Visual Sci. 10, 173–183 (2007). https://doi.org/10.1007/s00791-007-0072-y

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  • DOI: https://doi.org/10.1007/s00791-007-0072-y

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