Exponential Time Integration and Second-Order Difference Scheme for a Generalized Black-Scholes Equation

Zhongdi Cen, Anbo Le and Aimin Xu

Journal of Applied Mathematics, 2012, vol. 2012, 1-12

Abstract:

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.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljam:796814

DOI: 10.1155/2012/796814

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