Complexity / 2020 / Article / Tab 2

Research Article

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 .


0.10.10.99612021120.99612029040.99612021127.92.1
0.10.40.99193788440.99193768090.99193788442.16.2
0.10.80.97867207880.97867068450.97867207891.48.1
10.10.95693653320.95693675140.95693653302.31.3
10.40.93395165570.93395110520.93395165575.91.4
10.80.86404514140.86404216230.86404514153.48.9
100.10.60625318630.60625317020.60625318392.64.0
100.40.58706961780.58706961360.58706961597.13.2
100.80.52966763030.52966766620.52966762886.82.7
1000.10.00617630000.00617629860.00617629972.24.2
1000.40.00598086420.00598086300.00598086402.04.1
1000.80.00539607210.00539607140.00539607181.34.0

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