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

• Authors: Bernardelli Michał
• 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.

Keywords

EN

option pricing; Black-Scholes model; multigrid method; finite-difference scheme

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2015
• Volume: 16
• Issue: 1
• Pages: 25-36

Dates

published

2015

Contributors

author

Bernardelli Michał

• Collegium of Economic Analysis, SGH Warsaw School of Economics

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