NumPy is significantly more efficient than writing an implementation in pure Python. We will make use of the NumPy library to speed up the calculation of the Jacobi method. the value of $x$, is given by the following iterative equation: $A$ is split into the sum of two separate matrices, $D$ and $R$, such that $A=D+R$. We begin with the following matrix equation: The algorithm for the Jacobi method is relatively straightforward.
The Jacobi method is one way of solving the resulting matrix equation that arises from the FDM. The Black-Scholes PDE can be formulated in such a way that it can be solved by a finite difference technique. Jacobi's method is used extensively in finite difference method (FDM) calculations, which are a key part of the quantitative finance landscape. The Jacobi method is a matrix iterative method used to solve the equation $Ax=b$ for a known square matrix $A$ of size $n\times n$ and known vector $b$ or length $n$. We've already looked at some other numerical linear algebra implementations in Python, including three separate matrix decomposition methods: LU Decomposition, Cholesky Decomposition and QR Decomposition. This article will discuss the Jacobi Method in Python.
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