Open Access
Translator Disclaimer
2012 Exponential Time Integration and Second-Order Difference Scheme for a Generalized Black-Scholes Equation
Zhongdi Cen, Anbo Le, Aimin Xu
J. Appl. Math. 2012: 1-12 (2012). DOI: 10.1155/2012/796814

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.

Citation

Download Citation

Zhongdi Cen. Anbo Le. Aimin Xu. "Exponential Time Integration and Second-Order Difference Scheme for a Generalized Black-Scholes Equation." J. Appl. Math. 2012 1 - 12, 2012. https://doi.org/10.1155/2012/796814

Information

Published: 2012
First available in Project Euclid: 14 December 2012

zbMATH: 1235.91171
MathSciNet: MR2880844
Digital Object Identifier: 10.1155/2012/796814

Rights: Copyright © 2012 Hindawi

JOURNAL ARTICLE
12 PAGES


SHARE
Vol.2012 • 2012
Back to Top