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- Title
Exponential Time Integration and Second-Order Difference Scheme for a Generalized Black-Scholes Equation.
- Authors
Zhongdi Cen; Anbo Le; Aimin Xu
- 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.
- Subjects
TIME integration scheme; DIFFERENCE equations; FRACTIONAL calculus; MATHEMATICAL variables; STOCHASTIC convergence; NUMERICAL analysis
- Publication
Journal of Applied Mathematics, 2012, p1
- ISSN
1110-757X
- Publication type
Article
- DOI
10.1155/2012/796814