Exponential Time Integration and Second-Order Difference Scheme for a Generalized Black-Scholes Equation
Joint Authors
Source
Journal of Applied Mathematics
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-02-19
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract 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.
American Psychological Association (APA)
Cen, Zhongdi& Le, Anbo& Xu, Aimin. 2012. Exponential Time Integration and Second-Order Difference Scheme for a Generalized Black-Scholes Equation. Journal of Applied Mathematics،Vol. 2012, no. 2012, pp.1-12.
https://search.emarefa.net/detail/BIM-1029008
Modern Language Association (MLA)
Cen, Zhongdi…[et al.]. Exponential Time Integration and Second-Order Difference Scheme for a Generalized Black-Scholes Equation. Journal of Applied Mathematics No. 2012 (2012), pp.1-12.
https://search.emarefa.net/detail/BIM-1029008
American Medical Association (AMA)
Cen, Zhongdi& Le, Anbo& Xu, Aimin. Exponential Time Integration and Second-Order Difference Scheme for a Generalized Black-Scholes Equation. Journal of Applied Mathematics. 2012. Vol. 2012, no. 2012, pp.1-12.
https://search.emarefa.net/detail/BIM-1029008
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1029008
