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

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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…