A Positive Flux Limited Difference Scheme for Option Pricing 2D Fully Non-linear Parabolic Equation with Uncertain Correlation
Numerical Analysis
2015-09-11 v2
Abstract
We consider a two-asset non-linear model of option pricing in an environment where the correlation is not known precisely, but varies between two known values. First we discuss the non-negativity of the solution of the equation. Next, we construct and analyze a positivity preserving, flux-limited difference scheme for the corresponding boundary value problem. Numerical experiments are analyzed.
Keywords
Cite
@article{arxiv.1404.2459,
title = {A Positive Flux Limited Difference Scheme for Option Pricing 2D Fully Non-linear Parabolic Equation with Uncertain Correlation},
author = {Miglena N. Koleva and Lubin G. Vulkov},
journal= {arXiv preprint arXiv:1404.2459},
year = {2015}
}