Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4638374 | Journal of Computational and Applied Mathematics | 2016 | 16 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Miglena N. Koleva, Lubin G. Vulkov,