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COMPARISON OF NUMERICAL METHODS (BI-CGSTAB, OS, MG) FOR THE 2D BLACK-SCHOLES EQUATION
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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | 정다래 | - |
| dc.contributor.author | 김성기 | - |
| dc.contributor.author | 최용호 | - |
| dc.contributor.author | 황형석 | - |
| dc.contributor.author | 김준석 | - |
| dc.date.accessioned | 2021-09-05T14:59:53Z | - |
| dc.date.available | 2021-09-05T14:59:53Z | - |
| dc.date.created | 2021-06-17 | - |
| dc.date.issued | 2014 | - |
| dc.identifier.issn | 1226-0657 | - |
| dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/100461 | - |
| dc.description.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. | - |
| dc.language | English | - |
| dc.language.iso | en | - |
| dc.publisher | 한국수학교육학회 | - |
| dc.title | COMPARISON OF NUMERICAL METHODS (BI-CGSTAB, OS, MG) FOR THE 2D BLACK-SCHOLES EQUATION | - |
| dc.title.alternative | COMPARISON OF NUMERICAL METHODS (BI-CGSTAB, OS, MG) FOR THE 2D BLACK-SCHOLES EQUATION | - |
| dc.type | Article | - |
| dc.contributor.affiliatedAuthor | 김준석 | - |
| dc.identifier.bibliographicCitation | 순수 및 응용수학, v.21, no.2, pp.129 - 139 | - |
| dc.relation.isPartOf | 순수 및 응용수학 | - |
| dc.citation.title | 순수 및 응용수학 | - |
| dc.citation.volume | 21 | - |
| dc.citation.number | 2 | - |
| dc.citation.startPage | 129 | - |
| dc.citation.endPage | 139 | - |
| dc.type.rims | ART | - |
| dc.identifier.kciid | ART001877678 | - |
| dc.description.journalClass | 2 | - |
| dc.description.journalRegisteredClass | kci | - |
| dc.subject.keywordAuthor | Black-Scholes equation | - |
| dc.subject.keywordAuthor | finite difference method | - |
| dc.subject.keywordAuthor | bi-CGSTAB | - |
| dc.subject.keywordAuthor | operator splitting method | - |
| dc.subject.keywordAuthor | multigrid | - |
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