@TechReport{	  it:2003-059,
  author	= {Jonas Persson and von Sydow, Lina},
  title		= {Pricing European Multi-asset Options Using a Space-time
		  Adaptive FD-method},
  institution	= {Department of Information Technology, Uppsala University},
  department	= {Division of Scientific Computing},
  year		= {2003},
  number	= {2003-059},
  month		= dec,
  abstract	= {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.}
}