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COMPARISON OF NUMERICAL METHODS (BI-CGSTAB, OS, MG) FOR THE 2D BLACK-SCHOLES EQUATION
COMPARISON OF NUMERICAL METHODS (BI-CGSTAB, OS, MG) FOR THE 2D BLACK-SCHOLES EQUATION
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- 김성기;
- 최용호;
- 황형석;
- 김준석
초록
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.
키워드
Black-Scholes equation; finite difference method; bi-CGSTAB; operator splitting method; multigrid
- 제목
- COMPARISON OF NUMERICAL METHODS (BI-CGSTAB, OS, MG) FOR THE 2D BLACK-SCHOLES EQUATION
- 제목 (타언어)
- COMPARISON OF NUMERICAL METHODS (BI-CGSTAB, OS, MG) FOR THE 2D BLACK-SCHOLES EQUATION
- 저자
- 정다래; 김성기; 최용호; 황형석; 김준석
- 발행일
- 2014
- 저널명
- 순수 및 응용수학
- 권
- 21
- 호
- 2
- 페이지
- 129 ~ 139