Iterative Speedup by Utilizing Symmetric Data in Pricing Options with Two Risky Assets
The Crank–Nicolson method can be used to solve the Black–Scholes partial differential equation in one-dimension when both accuracy and stability is of concern. In multi-dimensions, however, discretizing the computational grid with a Crank–Nicolson scheme requires significantly large storage compared...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2017-01-01
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Series: | Symmetry |
Subjects: | |
Online Access: | http://www.mdpi.com/2073-8994/9/1/12 |