原创力文档a positive flux limited difference scheme for the uncertain correlation 2d black–scholes problem：不确定相关二维黑-斯科尔斯问题的正通量有限差分格式.pdfVIP
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a positive flux limited difference scheme for the uncertain correlation 2d black–scholes problem：不确定相关二维黑-斯科尔斯问题的正通量有限差分格式
Journal of Computational and Applied Mathematics 293 (2016) 112–127
Contents lists available at ScienceDirect
Journal of Computational and Applied
Mathematics
journal homepage: /locate/cam
A positive flux limited difference scheme for the uncertain
correlation 2D Black–Scholes problem
Miglena N. Koleva a,∗, Lubin G. Vulkov b
a FNSE, Department of Mathematics, Rousse University, 8 Studentska St., 7017 Rousse, Bulgaria
b FPHH, Department of Numerical Methods and Statistics, Rousse University, 8 Studentska St., 7017 Rousse, Bulgaria
a r t i c l e i n f o a b s t r a c t
Article history: We consider a two-asset non-linear model of option pricing in an environment where
Received 25 November 2014 the correlation is not known precisely, as it varies between two known values. First we
Received in revised form 23 February 2015 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
Keywords: value problem. Numerical experiments are analyzed.
Two-asset worst-case option pricing model © 2015 Elsevier B.V. All rights reserved.
Fully non-linear parabolic equation
Positive ODE system
VAN Leer flux-limiter
Non-negativity preservation
Stability
1. Introduction
Very important for the valuation of option pricing models is the correct specification of the respective model parameters.
Some of them are given from the market, or est
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