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Numerical analysis of a quasi-gasdynamic algorithm as applied to the Euler equations

✍ Scribed by T. G. Elizarova; E. V. Shil’nikov

Book ID
110196149
Publisher
SP MAIK Nauka/Interperiodica
Year
2009
Tongue
English
Weight
325 KB
Volume
49
Category
Article
ISSN
0965-5425

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In this paper we analyze the convergence properties of the Multigrid Method applied to the Black-Scholes differential equation arising in mathematical finance. We prove, for the discretized single-asset Black-Scholes equation, that the multigrid V -cycle possesses optimal convergence properties. Fur