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- Cuchulainn
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Mulithreaded 1D PDE solver for black scholes equation
QuoteOriginally posted by: mutleyADE is already O(dt^2)? I learn something new each day. I like it even more now - unconditionally stable, easy as pie to code and parallelise, doesn't suffer from spurious oscillations. AND second order in both space and time :)Nice to see others are also taking up the baton that I initiated, see this article. Theorem 4.1.
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Last edited by Cuchulainn on July 2nd, 2015, 10:00 pm, edited 1 time in total.
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- horacioaliaga
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Mulithreaded 1D PDE solver for black scholes equation
I need to perform the test Cuchulainn, I'll let you know
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- horacioaliaga
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Mulithreaded 1D PDE solver for black scholes equation
"Bergische"???? hahahhaa... why would they want using this adjective. I didn't know there were mountains in Wupperthal....
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- Cuchulainn
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Mulithreaded 1D PDE solver for black scholes equation
QuoteOriginally posted by: horacioaliaga"Bergische"???? hahahhaa... why would they want using this adjective. I didn't know there were mountains in Wupperthal....Wuppertal.