2 research outputs found
Fast and Efficient Numerical Methods for an Extended Black-Scholes Model
An efficient linear solver plays an important role while solving partial
differential equations (PDEs) and partial integro-differential equations
(PIDEs) type mathematical models. In most cases, the efficiency depends on the
stability and accuracy of the numerical scheme considered. In this article we
consider a PIDE that arises in option pricing theory (financial problems) as
well as in various scientific modeling and deal with two different topics. In
the first part of the article, we study several iterative techniques
(preconditioned) for the PIDE model. A wavelet basis and a Fourier sine basis
have been used to design various preconditioners to improve the convergence
criteria of iterative solvers. We implement a multigrid (MG) iterative method.
In fact, we approximate the problem using a finite difference scheme, then
implement a few preconditioned Krylov subspace methods as well as a MG method
to speed up the computation. Then, in the second part in this study, we analyze
the stability and the accuracy of two different one step schemes to approximate
the model.Comment: 29 pages; 10 figure