Exponential Time Integration and Second-Order Difference Scheme for a Generalized Black-Scholes Equation
We apply an exponential time integration scheme combined with a central difference scheme on a piecewise uniform mesh with respect to the spatial variable to evaluate a generalized Black-Scholes equation. We show that the scheme is second-order convergent for both time and spatial variables. It is p...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2012-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2012/796814 |
| Summary: | We apply an exponential time integration scheme
combined with a central difference scheme on a piecewise uniform mesh with
respect to the spatial variable to evaluate a generalized Black-Scholes equation. We show that the scheme is second-order convergent for both time
and spatial variables. It is proved that the scheme is unconditionally stable.
Numerical results support the theoretical results. |
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| ISSN: | 1110-757X 1687-0042 |