Comparison of numerical methods (Bi-CGSTAB, OS, MG) for the 2D Black-Scholes equation (Q2878115)
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scientific article; zbMATH DE number 6335569
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| English | Comparison of numerical methods (Bi-CGSTAB, OS, MG) for the 2D Black-Scholes equation |
scientific article; zbMATH DE number 6335569 |
Statements
28 August 2014
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finite difference method
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operator splitting method
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multigrid method
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conjugate gradient method
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numerical examples
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Black-Scholes equation
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Comparison of numerical methods (Bi-CGSTAB, OS, MG) for the 2D Black-Scholes equation (English)
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0.8646156787872314
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0.8275818824768066
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0.8189895153045654
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0.8129462003707886
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0.810368537902832
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