@Article{JMS-53-3,
author = {Driouch, Aicha and Moatassime, Hassan, Al},
title = {Multigrid Method for a Two Dimensional Fully Nonlinear Black-Scholes Equation with a Nonlinear Volatility Function},
journal = {Journal of Mathematical Study},
year = {2020},
volume = {53},
number = {3},
pages = {247--264},
abstract = {<p style="text-align: justify;">This paper deals with the task of pricing European basket options in the presence of transaction costs. We develop a model that incorporates the illiquidity of
the market into the classical two-assets Black-Scholes framework. We perform a numerical simulation using finite difference method. We consider a nonlinear multigrid
method in order to reduce computational costs. The objective of this paper is to investigate a deterministic extension for the Barles&#39; and Soner&#39;s model and to demonstrate
the effectiveness of multigrid approach to solving a fully nonlinear two dimensional
Black-Scholes problem.</p>},
issn = {2617-8702},
doi = {https://doi.org/10.4208/jms.v53n3.20.02},
url = {https://global-sci.com/article/87700/multigrid-method-for-a-two-dimensional-fully-nonlinear-black-scholes-equation-with-a-nonlinear-volatility-function}
}