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A positive flux limited difference scheme for the uncertain correlation 2D Black–Scholes problem.
- Source :
-
Journal of Computational & Applied Mathematics . Feb2016, Vol. 293, p112-127. 16p. - Publication Year :
- 2016
-
Abstract
- We consider a two-asset non-linear model of option pricing in an environment where the correlation is not known precisely, as it varies between two known values. First we discuss the non-negativity of the solution of the problem. Next, we construct and analyze a positivity preserving, flux-limited finite difference scheme for the corresponding boundary value problem. Numerical experiments are analyzed. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03770427
- Volume :
- 293
- Database :
- Academic Search Index
- Journal :
- Journal of Computational & Applied Mathematics
- Publication Type :
- Academic Journal
- Accession number :
- 109356820
- Full Text :
- https://doi.org/10.1016/j.cam.2015.02.054