%0 Journal Article %T A Positive Flux Limited Difference Scheme for Option Pricing 2D Fully Non-linear Parabolic Equation with Uncertain Correlation %A Miglena N. Koleva %A Lubin G. Vulkov %J Mathematics %D 2014 %I arXiv %R 10.1016/j.cam.2015.02.054 %X 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. %U http://arxiv.org/abs/1404.2459v2