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What is Black-Scholes PDE Method Comparison about?
This dissertation compares three finite difference methods—Alternating Direction Implicit (ADI), Operator Splitting (OS), and Alternating Direction Explicit (ADE)—for solving the two-factor Black-Scholes partial differential equation. The study finds that OS is stable across all tests, while ADI converges quickly but can produce blow-up solutions with small step sizes, and ADE, despite some instability, is the fastest to reach accuracy. The implementation of these methods in C++ and their parallelization us
- Author
- naveen kumar
- Language
- EN