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, issue 1

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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https://doi.org/10.1155/2012/796814

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnljam:v:2012:y:2012:i:1:n:796814

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