| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 6422387 | Journal of Computational and Applied Mathematics | 2016 | 12 Pages |
Abstract
A coupled system, where one is a degenerate parabolic equation and the other has no diffusion term, arises in the modeling of European options with liquidity shocks. Two implicit-explicit (IMEX) schemes that preserve the positivity of the differential problem solution are constructed and analyzed. Numerical experiments confirm the theoretical results and illustrate the high accuracy and efficiency of the schemes in combination with Richardson extrapolation in time.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Walter Mudzimbabwe, Lubin Vulkov,