Efficient implicit scheme with positivity preserving and smoothing properties

DOI10.1016/J.CAM.2012.09.039zbMath1258.91221OpenAlexW2085051954MaRDI QIDQ1936182

Aldo Tagliani, Mariyan Milev

Publication date: 21 February 2013

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.09.039

zbMATH Keywords

\(M\)-matrixfinite difference schemesBlack-Scholes equationpositivity-preservingfully implicit schemenon-smooth initial conditions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20)

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