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ISSN : 1226-0657

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Vol.21 No.2
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COMPARISON OF NUMERICAL METHODS (BI-CGSTAB, OS, MG) FOR THE 2D BLACK-SCHOLES EQUATION

Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics / Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics, (P)1226-0657; (E)2287-6081
2014, v.21 no.2, pp.129-139
https://doi.org/10.7468/jksmeb.2014.21.2.129
Jeong, Darae
Kim, Sungki
Choi, Yongho
Hwang, Hyeongseok
Kim, Junseok
Jeong,, D. , Kim,, S. , Choi,, Y. , Hwang,, H. , & Kim,, J. (2014). COMPARISON OF NUMERICAL METHODS (BI-CGSTAB, OS, MG) FOR THE 2D BLACK-SCHOLES EQUATION. Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics, 21(2), 129-139, https://doi.org/10.7468/jksmeb.2014.21.2.129
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Abstract

In this paper, we present a detailed comparison of the performance of the numerical solvers such as the biconjugate gradient stabilized, operator splitting, and multigrid methods for solving the two-dimensional Black-Scholes equation. The equation is discretized by the finite difference method. The computational results demonstrate that the operator splitting method is fastest among these solvers with the same level of accuracy.

keywords
Black-Scholes equation, finite difference method, bi-CGSTAB, operator splitting method, multigrid

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