IMEX schemes for a parabolic-ODE system of European options with liquidity shocks

被引：10
|
作者：
Mudzimbabwe, Walter [1 ]
Vulkov, Lubin [1 ]
机构：
[1] Rousse Univ, Dept Appl Math, Studentska Str 8, Ruse 7017, Bulgaria
来源：
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2016年 / 299卷
关键词：
Parabolic-ordinary system; European options; Finite difference scheme; Comparison principle; Positivity; NUMERICAL SCHEME;
D O I：
10.1016/j.cam.2015.11.049
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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. (C) 2015 Elsevier B.V. All rights reserved.
引用
收藏
页码：245 / 256
页数：12
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