• 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