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**Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation.**
*(English)*
Zbl 1235.91171

Summary: 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.

### MSC:

91G60 | Numerical methods (including Monte Carlo methods) |

65N06 | Finite difference methods for boundary value problems involving PDEs |

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\textit{Z. Cen} et al., J. Appl. Math. 2012, Article ID 796814, 12 p. (2012; Zbl 1235.91171)

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### References:

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