Exponential Time Integration and Second‐Order Difference Scheme for a Generalized Black‐Scholes Equation
Copyright policy ) Cen, Zhongdi; Le, Anbo; Xu, Aimin;
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 proved that the scheme is unconditionally stable. Numerical results support the theoretical results.
- Zhejiang Wanli University China (People's Republic of)
Finite difference methods for boundary value problems involving PDEs, Numerical methods (including Monte Carlo methods), QA1-939, Mathematics
Finite difference methods for boundary value problems involving PDEs, Numerical methods (including Monte Carlo methods), QA1-939, Mathematics
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These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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