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COMPARISON OF NUMERICAL METHODS (BI-CGSTAB, OS, MG) FOR THE 2D BLACK-SCHOLES EQUATIONCOMPARISON OF NUMERICAL METHODS (BI-CGSTAB, OS, MG) FOR THE 2D BLACK-SCHOLES EQUATION
- Other Titles
- COMPARISON OF NUMERICAL METHODS (BI-CGSTAB, OS, MG) FOR THE 2D BLACK-SCHOLES EQUATION
- Issue Date
- 2014
- Publisher
- 한국수학교육학회
- Keywords
- Black-Scholes equation; finite difference method; bi-CGSTAB; operator splitting method; multigrid
- Citation
- 순수 및 응용수학, v.21, no.2, pp.129 - 139
- Indexed
- KCI
- Journal Title
- 순수 및 응용수학
- Volume
- 21
- Number
- 2
- Start Page
- 129
- End Page
- 139
- ISSN
- 1226-0657
- Abstract
- In this paper, we present a detailed comparison of the performance ofthe numerical solvers such as the biconjugate gradient stabilized, operator splitting,and multigrid methods for solving the two-dimensional Black-Scholes equation. Theequation is discretized by the finite difference method. The computational resultsdemonstrate that the operator splitting method is fastest among these solvers withthe same level of accuracy.
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