A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem (Q747919)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem |
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A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem (English)
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19 October 2015
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two-asset worst-case option pricing model
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fully nonlinear parabolic equation
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positive ODE system
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var Leer flux-limiter
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non-negativity preservation
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stability
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