Title of article
A SPLITTING FLUX LIMITER FINITE DIFFERENCE SCHEME FOR THE NONLINEAR BLACK-SCHOLES EQUATION
Author/Authors
KOLEVA, MIGLENA N. Ruse University, Bulgaria , VULKOV, LUBIN G. Ruse University, Bulgaria
From page
381
To page
395
Abstract
We present and analyze a splitting numerical scheme for nonlinear models of mathematical finance. Each problem is split into two parts: a hyperbolic equation solved numerically by using a flux limiter technique, and a parabolic equation computed by an implicitexplicit finite difference scheme. We show that the presented splitting numerical schemes are positivity preserving and monotone. The convexity of the numerical solutions are studied. Numerical results are also discussed
Keywords
Finite Difference Method , Splitting Method , Van Leer Flux Limiter , Positivity Preserving , Monotonicity Preserving , Mathematical Finance
Journal title
Applied and Computational Mathematics
Journal title
Applied and Computational Mathematics
Record number
2544192
Link To Document