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• W2163282685 abstract "This paper deals with the efficient valuation of American options. We adopt Heston's approach for a model of stochastic volatility, leading to a generalized Black–Scholes equation called Heston's equation. Together with appropriate boundary conditions, this can be formulated as a parabolic boundary value problem with a free boundary, the optimal exercise price of the option. For its efficient numerical solution, we employ, among other multiscale methods, a monotone multigrid method based on linear finite elements in space and display corresponding numerical experiments." @default.
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• W2163282685 date "2012-06-01" @default.
• W2163282685 modified "2023-09-26" @default.
• W2163282685 title "Multiscale methods for the valuation of American options with stochastic volatility" @default.
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• W2163282685 doi "https://doi.org/10.1080/00207160.2012.672732" @default.
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