3 papers
q-fin.CP2016
High order finite difference schemes on non-uniform meshes for the time-fractional Black-Scholes equation
Yuri M. Dimitrov, Lubin G. Vulkov
We construct a three-point compact finite difference scheme on a non-uniform mesh for the time-fractional Black-Scholes equation. We show that for special graded meshes used in fin…
cs.CE2016
Numerical solution of a parabolic system in air pollution
Tatiana P. Chernogorova, Lubin G. Vulkov
An air pollution model is generally described by a system of PDEs on unbounded domain. Transformation of the independent variable is used to convert the problem for nonlinear air p…
q-fin.CP2015
IMEX schemes for a Parabolic-ODE system of European Options with Liquidity Shocks
W. Mudzimbabwe, Lubin G. Vulkov
The coupled system, where one is a degenerate parabolic equation and the other has not a diffusion term arises in the modeling of European options with liquidity shocks. Two implic…