Article ID Journal Published Year Pages File Type
4638374 Journal of Computational and Applied Mathematics 2016 16 Pages PDF
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.

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Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
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