@InProceedings{	  Holtz.Kunoth:2005,
  author	= {M.~Holtz and A.~Kunoth},
  title		= {{B-spline based monotone multigrid methods, with an
		  application to the pricing of American options}},
  booktitle	= {Multigrid, Multilevel and Multiscale Methods},
  year		= {2005},
  editor	= {P. Wesseling and C.W. Oosterlee and P. Hemker},
  volume	= {},
  number	= {},
  series	= {Proc. EMG},
  pages		= {},
  address	= {},
  month		= {},
  organization	= {},
  publisher	= {},
  pdf		= {http://wissrech.ins.uni-bonn.de/research/pub/holtz/holtzkunoth_proceedings_emg05.pdf}
		  ,
  abstract	= {We propose a monotone multigrid method based on a
		  B--spline basis of arbitrary smoothness for the efficient
		  numerical solution of elliptic variational inequalities on
		  closed convex sets. In order to maintain monotonicity
		  (upper bound) and quasi--optimality (lower bound) of the
		  coarse grid corrections, we propose coarse grid
		  approximations of the obstacle function which are based on
		  B--spline expansion coefficients. To illustrate the
		  potential of the scheme, the method is applied to the
		  pricing of American options in the Black--Scholes
		  framework.},
  note		= {Also as SFB 611 preprint No. 0289, 2006},
  annote	= {article,ALM}
}