Exponential Time Integration and Second-Order Difference Scheme for a Generalized Black-Scholes Equation

الملخص EN

We apply an exponential time integration schemecombined with a central difference scheme on a piecewise uniform mesh withrespect to the spatial variable to evaluate a generalized Black-Scholes equation.

We show that the scheme is second-order convergent for both timeand spatial variables.

It is proved that the scheme is unconditionally stable.

Numerical results support the theoretical results.