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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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