Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation (Q411091)
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scientific article; zbMATH DE number 6021757
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| English | Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation |
scientific article; zbMATH DE number 6021757 |
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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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0.8388830423355103
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0.8226407170295715
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0.8163813352584839
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0.8106759786605835
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0.8046075105667114
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