Fast and high accuracy numerical methods for solving PDEs in computational finance

Yin Wang; Kun Hua; Jun Zhang

doi:10.1109/BCGIn.2011.84

Fast and high accuracy numerical methods for solving PDEs in computational finance

Yin Wang, Kun Hua, Jun Zhang

Computer Science

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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.

Original language	English
Title of host publication	Proceedings of the 2011 International Conference on Business Computing and Global Informatization, BCGIn 2011
Pages	307-310
Number of pages	4
DOIs	https://doi.org/10.1109/BCGIn.2011.84
State	Published - 2011
Event	2011 International Conference on Business Computing and Global Informatization, BCGIn 2011 - Shanghai, China Duration: Jul 29 2011 → Jul 31 2011

Publication series

Name	Proceedings of the 2011 International Conference on Business Computing and Global Informatization, BCGIn 2011

Conference

Conference	2011 International Conference on Business Computing and Global Informatization, BCGIn 2011
Country/Territory	China
City	Shanghai
Period	7/29/11 → 7/31/11

Keywords

Multigrid method
Poisson equation
W-cycle

ASJC Scopus subject areas

Business and International Management
Information Systems
Information Systems and Management

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10.1109/BCGIn.2011.84

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Wang, Y., Hua, K., & Zhang, J. (2011). Fast and high accuracy numerical methods for solving PDEs in computational finance. In Proceedings of the 2011 International Conference on Business Computing and Global Informatization, BCGIn 2011 (pp. 307-310). Article 6003909 (Proceedings of the 2011 International Conference on Business Computing and Global Informatization, BCGIn 2011). https://doi.org/10.1109/BCGIn.2011.84

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title = "Fast and high accuracy numerical methods for solving PDEs in computational finance",

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 = "Multigrid method, Poisson equation, W-cycle",

author = "Yin Wang and Kun Hua and Jun Zhang",

year = "2011",

doi = "10.1109/BCGIn.2011.84",

language = "English",

isbn = "9780769544649",

series = "Proceedings of the 2011 International Conference on Business Computing and Global Informatization, BCGIn 2011",

pages = "307--310",

booktitle = "Proceedings of the 2011 International Conference on Business Computing and Global Informatization, BCGIn 2011",

note = "2011 International Conference on Business Computing and Global Informatization, BCGIn 2011 ; Conference date: 29-07-2011 Through 31-07-2011",

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Wang, Y, Hua, K & Zhang, J 2011, Fast and high accuracy numerical methods for solving PDEs in computational finance. in Proceedings of the 2011 International Conference on Business Computing and Global Informatization, BCGIn 2011., 6003909, Proceedings of the 2011 International Conference on Business Computing and Global Informatization, BCGIn 2011, pp. 307-310, 2011 International Conference on Business Computing and Global Informatization, BCGIn 2011, Shanghai, China, 7/29/11. https://doi.org/10.1109/BCGIn.2011.84

Fast and high accuracy numerical methods for solving PDEs in computational finance. / Wang, Yin; Hua, Kun; Zhang, Jun.
Proceedings of the 2011 International Conference on Business Computing and Global Informatization, BCGIn 2011. 2011. p. 307-310 6003909 (Proceedings of the 2011 International Conference on Business Computing and Global Informatization, BCGIn 2011).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

TY - GEN

T1 - Fast and high accuracy numerical methods for solving PDEs in computational finance

AU - Wang, Yin

AU - Hua, Kun

AU - Zhang, Jun

PY - 2011

Y1 - 2011

N2 - 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.

AB - 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.

KW - Multigrid method

KW - Poisson equation

KW - W-cycle

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BT - Proceedings of the 2011 International Conference on Business Computing and Global Informatization, BCGIn 2011

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Wang Y, Hua K, Zhang J. Fast and high accuracy numerical methods for solving PDEs in computational finance. In Proceedings of the 2011 International Conference on Business Computing and Global Informatization, BCGIn 2011. 2011. p. 307-310. 6003909. (Proceedings of the 2011 International Conference on Business Computing and Global Informatization, BCGIn 2011). doi: 10.1109/BCGIn.2011.84

Fast and high accuracy numerical methods for solving PDEs in computational finance

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Keywords

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