%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