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http://dx.doi.org/10.7468/jksmeb.2014.21.2.129

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

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)
Publication Information
The Pure and Applied Mathematics / v.21, no.2, 2014 , pp. 129-139 More about this Journal
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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