A positive flux limited difference scheme for the uncertain correlation 2D Black–Scholes problem

Miglena N. Koleva ^[1] ; Lubin G. Vulkov ^[1]
1. [1] Rousse University, Bulgaria
Localización: Journal of computational and applied mathematics, ISSN 0377-0427, Vol. 293, Nº 1 (February 2016), 2016, págs. 112-127
Idioma: inglés
DOI: 10.1016/j.cam.2015.02.054
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Resumen
- 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.