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

摘要

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.