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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…
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…