Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation
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Publication:411091
DOI10.1155/2012/796814zbMath1235.91171WikidataQ58907367 ScholiaQ58907367MaRDI QIDQ411091
Zhongdi Cen, Aimin Xu, Anbo Le
Publication date: 4 April 2012
Published in: Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2012/796814
91G60: Numerical methods (including Monte Carlo methods)
65N06: Finite difference methods for boundary value problems involving PDEs
