Complexity / 2020 / Article / Tab 3

Research Article

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

Table 3

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 .


0.10.10.78316676090.78316727060.78316676096.51.5
0.10.40.78316676090.78316735680.78316676097.62.8
0.10.80.78316676090.78316764870.78316676081.19.1
10.10.82219087610.82219246870.82219087411.92.4
10.40.82219087610.82219251740.82219087602.06.6
10.80.82219087610.82219274480.82219087602.35.8
100.10.83741215490.83741222330.83741214788.28.6
100.40.83741215490.83741215890.83741215444.86.4
100.80.83741215490.83741215650.83741215481.91.6
1000.10.83741219690.83741226520.83741218978.28.6
1000.40.83741219690.83741220090.83741219644.76.4
1000.80.83741219690.83741219850.83741219681.91.6

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