PL EN


2015 | 16 | 1 | 25-36
Article title

OVERLAPPING MULTIGRID METHODS AS AN EFFICIENT APPROACH FOR SOLVING THE BLACK-SCHOLES EQUATION

Content
Title variants
Languages of publication
EN
Abstracts
EN
In this paper the modification of a two-level multigrid method by allowing an overlap between adjacent subdomains and its application to a one-dimensional Black-Scholes equation is described. The method is based on the finite-difference schema known as implicit Euler. Numerical experiments confirm the superiority of the proposed method in relation to the classic multigrid method in form of shortening computation time, memory savings and ease of parallelization. The comparison shows the advantages of overlapping grids vs method without them, mainly due to improved accuracy of the solution.
Year
Volume
16
Issue
1
Pages
25-36
Physical description
Dates
published
2015
Contributors
  • Collegium of Economic Analysis, SGH Warsaw School of Economics
References
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-1d07aae3-891a-4827-9e79-4b7f2a00e997
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