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

김성기|최용호|김준석|정다래|황형석
한국수학교육학회|2014.05|이론수학과 교직수학 (Theoretical Mathematics and Pedagogical Mathematics)|제21권 제2호|pp. 129-139

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키워드

finite difference methodoperator splitting methodBlack-Scholes equationbi-CGSTABmultigrid
주제분류수학

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.

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.

참고문헌 (21)

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