On Multigrid for Linear Complementarity Problems with Application to American-style Options
نویسنده
چکیده
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. The properties of smoothers are analyzed with Fourier two-grid analysis. Numerical solutions obtained for the option pricing problem are compared with reference results.
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