Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation (Q411091): Difference between revisions
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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. | |||
| Property / review text: 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. / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 65N06 / rank | |||
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| Property / zbMATH DE Number: 6021757 / rank | |||
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Revision as of 19:34, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
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| English | Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation |
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Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation (English)
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4 April 2012
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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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