A baseline wins. At the comparison noise level, the best baseline beats SolvSRK by at least 10 percentage points of survival, or by at least 0.05 balanced score when survival is tied. Use the winning baseline named on the problem page — not SolvSRK. All verdicts →
841D MOL discretisation of the 2D Black-Scholes backward PDE on a 31x31 log-S1 x log-S2 tensor grid for a max-of-two-asset rainbow call. 9-point stencil with rho cross term -- LRDE row-1 GREEN.
Margrabe 1978; standard 2D MOL
Canonical RHS excerpt from the registered callable used for this benchmark cell. Expand it to verify the state equations; it is not a standalone runnable fixture.
def rhs(t: float, y: np.ndarray) -> np.ndarray:
return A_csr @ y + g_arrCanonical RHS excerpt captured from the same registered callable used for the published benchmark. Frozen closure values are summarized below; helper imports and solver settings are intentionally omitted.
Fingerprint
Spread: low
Default noise: none
Recommendation snapshot
Clean best: SolvSRK
Noisy best: SciPy DOP853
Coverage
14 solver arms · clean + 5 noise levels
Ranked on survival, precision, and speed
20 seeds/cell default · 14 arms · TRL 4–5 · simulation-lab validated · this page: Black-Scholes 2D rainbow option (MOL tensor grid) (black-scholes-2d-rainbow-option-mol-tensor-grid)
Governed SolvTune benchmark freeze; per-arm medians only. RHS definitions and raw trial rows are not published.
Self-reported by Resonix Labs · not independently verified
Pick an objective and a noise level to rank all arms on survival, median SCD, median nfev, and median wall time. Medians across seeds.
Objective
Best overall trade-off of survival, precision, and speed.
Noise level
| # | Solver | Survival | SCD | nfev | Wall | Score |
|---|---|---|---|---|---|---|
| 1 | SolvSRK | 100% | 10.7 | 6,248 | 1.17 s | 0.874 |
| 2 | SciPy RadauSciPy | 100% | 10.6 | 1,362 | 420 ms | 0.872 |
| 3 | SciPy DOP853SciPy | 100% | 9.5 | 98 | 1 ms | 0.845 |
| 4 | SciPy LSODASciPy | 100% | 8.9 | 133 | 2 ms | 0.832 |
| 5 | Tsit5external | 100% | 8.5 | 156 | 653 ms | 0.821 |
| 6 | SciPy RK45SciPy | 100% | 8.3 | 176 | 2 ms | 0.816 |
| 7 | CVODE Adamsexternal | 100% | 8.0 | 1,799 | 83 ms | 0.809 |
| 8 | CVODE BDFexternal | 100% | 7.5 | 1,783 | 76 ms | 0.798 |
| 9 | SciPy RK23SciPy | 100% | 7.5 | 647 | 7 ms | 0.797 |
| 10 | SciPy BDFSciPy | 100% | 7.3 | 1,045 | 171 ms | 0.793 |
At Clean, best balanced arm is SolvSRK.
Values are medians across seeds, measured by Resonix Labs on Resonix hardware and not independently verified; nfev and wall are on reference lab hardware (indicative). Under injected noise only SolvSRK and the SciPy arms are run. How we measure accuracy → · Verification status →
SolvScout · free
This page shows one published benchmark cell. SolvScout fingerprints your ODE, compares it to the full corpus, and recommends a solver with the same survival / precision / speed ranking you see here — including when a SciPy arm wins.
SolvSRK · 30-day trial
SolvSRK is the stiffness-adaptive integrator behind the SolvSRK column in these tables. Create an account, activate a machine, and take a 30-day trial — same binary you'd ship after purchase.
Replace the access date. Pin the freeze ID and library versions when comparing against a later export. Cite it as what it is — a self-reported vendor benchmark, not an independently verified result. The note field says so; please keep it.
@misc{resonix_evidence_black_scholes_2d_rainbow_option_mol_tensor_grid_2026,
title = {Resonix Evidence Portal: Black-Scholes 2D rainbow option (MOL tensor grid)},
author = {{Resonix Labs (Canada) Inc.}},
year = {2026},
howpublished = {\url{https://resonix.tech/evidence/problems/black-scholes-2d-rainbow-option-mol-tensor-grid}},
note = {Self-reported vendor benchmark; internally generated by Resonix Labs and not independently verified. Accessed YYYY-MM-DD. Freeze 2026-08-13; libsolvsrk 2.3.0; SciPy 1.14.}
}TRL 4–5 · simulation-lab validated · 398 problems · 14 solver arms · clean + 5 noise levels
Freeze: 2026-08-13 · scipy 1.14 · libsolvsrk 2.3.0 · Methodology
Self-reported by Resonix Labs · not independently verified · Verification status