Journal of Applied Mathematics

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

Zhongdi Cen, Anbo Le, and Aimin Xu

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Abstract

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.

Article information

Source
J. Appl. Math., Volume 2012 (2012), Article ID 796814, 12 pages.

Dates
First available in Project Euclid: 14 December 2012

Permanent link to this document
https://projecteuclid.org/euclid.jam/1355495039

Digital Object Identifier
doi:10.1155/2012/796814

Mathematical Reviews number (MathSciNet)
MR2880844

Zentralblatt MATH identifier
1235.91171

Citation

Cen, Zhongdi; Le, Anbo; Xu, Aimin. Exponential Time Integration and Second-Order Difference Scheme for a Generalized Black-Scholes Equation. J. Appl. Math. 2012 (2012), Article ID 796814, 12 pages. doi:10.1155/2012/796814. https://projecteuclid.org/euclid.jam/1355495039


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