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Exponential time integration and second-order difference scheme for a generalized black-scholes equation
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نویسنده
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cen z. ,le a. ,xu a.
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منبع
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journal of applied mathematics - 2012 - دوره : 2012 - شماره : 0
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چکیده
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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. copyright © 2012 zhongdi cen et al.
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آدرس
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institute of mathematics,zhejiang wanli university,zhejiang, China, institute of mathematics,zhejiang wanli university,zhejiang, China, institute of mathematics,zhejiang wanli university,zhejiang, China
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Authors
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