%0 Journal Article
%T Exponential Time Integration and Second-Order Difference Scheme for a Generalized Black-Scholes Equation
%A Zhongdi Cen
%A Anbo Le
%A Aimin Xu
%J Journal of Applied Mathematics
%D 2012
%I Hindawi Publishing Corporation
%R 10.1155/2012/796814
%X We apply an exponential time integration scheme combined with a central difference scheme on a piecewise uniform mesh with respect to the spatial variable to evaluate a generalized Black-Scholes equation. We show that the scheme is second-order convergent for both time and spatial variables. It is proved that the scheme is unconditionally stable. Numerical results support the theoretical results.
%U http://www.hindawi.com/journals/jam/2012/796814/