Open AccessMultigrid method for pricing European options under the CGMY process
Author(s) -
Jie Wan
Publication year - 2019
Publication title -
aims mathematics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.329
H-Index - 15
ISSN - 2473-6988
DOI - 10.3934/math.2019.6.1745
Subject(s) - multigrid method , mathematics , discretization , fast fourier transform , mathematical optimization , smoothing , partial differential equation , kernel (algebra) , matrix (chemical analysis) , computer science , algorithm , mathematical analysis , statistics , materials science , combinatorics , composite material