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20142017
most citedA Positive Flux Limited Difference Scheme for Option Pricing 2D Fully Non-linear Parabolic Equation with Uncertain Correlation

2 citations · 3 across the 6 of their papers we have counts for

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math.NA2017★ 1 cited

A Comparison Study of Two High Accuracy Numerical Methods for a Parabolic System in Air Pollution Modelling

Ivan Dimov, Juri Kandilarov, Venelin Todorov +1

We present two approaches for enhancing the accuracy of second order finite difference approximations of two-dimensional semilinear parabolic systems. These are the fourth order co…

math.NA2014★ 2 cited

A Positive Flux Limited Difference Scheme for Option Pricing 2D Fully Non-linear Parabolic Equation with Uncertain Correlation

Miglena N. Koleva, Lubin G. Vulkov

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…