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 |