Numerical Solutions to Optimal Portfolio Selection and Consumption Strategies under Stochastic Volatility

Table 2

Comparison between the exact solution , the numerical solution without Richardson’s extrapolation , and the numerical solution after Richardson’s extrapolation . The relative errors in numerical solutions are shown in the last two columns. Here, the numerical solutions are obtained with .

0.1	0.1	0.9961202112	0.9961202904	0.9961202112	7.9	2.1
0.1	0.4	0.9919378844	0.9919376809	0.9919378844	2.1	6.2
0.1	0.8	0.9786720788	0.9786706845	0.9786720789	1.4	8.1
1	0.1	0.9569365332	0.9569367514	0.9569365330	2.3	1.3
1	0.4	0.9339516557	0.9339511052	0.9339516557	5.9	1.4
1	0.8	0.8640451414	0.8640421623	0.8640451415	3.4	8.9
10	0.1	0.6062531863	0.6062531702	0.6062531839	2.6	4.0
10	0.4	0.5870696178	0.5870696136	0.5870696159	7.1	3.2
10	0.8	0.5296676303	0.5296676662	0.5296676288	6.8	2.7
100	0.1	0.0061763000	0.0061762986	0.0061762997	2.2	4.2
100	0.4	0.0059808642	0.0059808630	0.0059808640	2.0	4.1
100	0.8	0.0053960721	0.0053960714	0.0053960718	1.3	4.0