@TechReport{ it:2007-004,
author = {Jonas Persson},
title = {Pricing American Options Using a Space-time Adaptive
Finite Difference Method},
institution = {Department of Information Technology, Uppsala University},
department = {Division of Scientific Computing},
year = {2007},
number = {2007-004},
month = jan,
abstract = {American options are priced numerically using a space- and
time-adaptive finite difference method. The generalized
Black-Scholes operator is discretized on a Cartesian
structured but non-equidistant grid in space. The space-
and time-discretizations are adjusted such that a
predefined tolerance level on the local discretization
error is met. An operator splitting technique is used to
separately handle the early exercise constraint and the
solution of linear systems of equations from the finite
difference discretization of the linear complementarity
problem. In numerical experiments three variants of the
adaptive time-stepping algorithm with and without local
time-stepping are compared.}
}