OVERLAPPING MULTIGRID METHODS AS AN EFFICIENT APPROACH FOR SOLVING THE BLACK-SCHOLES EQUATION
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 t...
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| Auteur principal: | |
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| Format: | Artigo |
| Langue: | Inglês |
| Publié: |
Wydawnictwo SGGW - Warsaw University of Life Sciences Press
2015-03-01
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| Collection: | Quantitative Methods in Economics |
| Sujets: | |
| Accès en ligne: | https://qme.sggw.edu.pl/article/view/3750 |
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