Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation (Q411091): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1155/2012/796814 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W1998586337 / rank | |||
Normal rank |
Revision as of 19:32, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation |
scientific article |
Statements
Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation (English)
0 references
4 April 2012
0 references
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.
0 references