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Fig. 12.5 Stiffness matrix A
( top ) and compressed matrix
A ( bottom )forlevel L = 8
For a European call option with maturity T
=
1 and strike K
=
100, we com-
pute the L -error at maturity t
(K/ 2 , 3 / 2 K) . In the dis-
cretization, we use for the hat functions the Crank-Nicolson scheme with the con-
stant time steps M = O (N) and for the wavelet basis the hp -dG time stepping with
M
=
T on the subset G 0 =
= O
( log N) graded time steps. It can be seen in Fig. 12.6 that for the (perturbed)
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