Fast and High Accuracy Numerical Methods for Solving PDEs in Computational Finance

Author

Wang, Yin ; Hua, Kun ; Zhang, Jun

Author_Institution

Dept. of Math. & Comput. Sci., Lawrence Technol. Univ., Southfield, MI, USA

fYear

2011

fDate

29-31 July 2011

Firstpage

307

Lastpage

310

Abstract

We develop a new W-cycle multiscale multigrid method that can use the existing multilevel (different scale) grid hierarchy to approximate the sixth order solution of Poisson equation based on the fourth order discretization schemes. Richardson extrapolation procedure is used on the fine grid level in multigrid method. Numerical results are conducted to show the solution accuracy and the computational efficiency of our new method, compared to Wang-Zhang´s sixth order multiscale multigrid method using V-cycle.

Keywords

Poisson equation; computational complexity; extrapolation; financial management; PDE; Poisson equation; Richardson extrapolation procedure; V-cycle; W-cycle multiscale multigrid method; Wang-Zhang´s sixth order multiscale multigrid method; computational efficiency; computational finance; different scale grid hierarchy; fourth order discretization schemes; grid level; multilevel grid hierarchy; numerical methods; Accuracy; Equations; Extrapolation; Interpolation; Multigrid methods; Poisson equations; Program processors; Poisson equation; W-cycle; multigrid method;

fLanguage

English

Publisher

ieee

Conference_Titel

Business Computing and Global Informatization (BCGIN), 2011 International Conference on

Conference_Location

Shanghai

Print_ISBN

978-1-4577-0788-9

Electronic_ISBN

978-0-7695-4464-9

Type

conf

DOI

10.1109/BCGIn.2011.84

Filename

6003909