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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

COMPARISON OF NUMERICAL METHODS (BI-CGSTAB, OS, MG) FOR THE 2D BLACK-SCHOLES EQUATION

한국수학교육학회지시리즈B:순수및응용수학 / 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 (Department of Mathematics, Korea University)
Kim, Sungki (Department of Mathematics, Korea University)
Choi, Yongho (Department of Mathematics, Korea University)
Hwang, Hyeongseok (Department of Financial Engineering, Korea University)
Kim, Junseok (Department of Mathematics, Korea University)
Jeong, Darae, Kim, Sungki, Choi, Yongho, Hwang, Hyeongseok, & Kim, Junseok. (2014). COMPARISON OF NUMERICAL METHODS (BI-CGSTAB, OS, MG) FOR THE 2D BLACK-SCHOLES EQUATION. 한국수학교육학회지시리즈B:순수및응용수학, 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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한국수학교육학회지시리즈B:순수및응용수학

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