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

DOI10.7468/JKSMEB.2014.21.2.129zbMath1297.65093OpenAlexW2028207167MaRDI QIDQ2878115

Yongho Choi, Junseok Kim, Hyeongseok Hwang, Darae Jeong, Sung Ki Kim

Publication date: 28 August 2014

Published in: The Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7468/jksmeb.2014.21.2.129

zbMATH Keywords

finite difference methodnumerical examplesconjugate gradient methodmultigrid methodBlack-Scholes equationoperator splitting method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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