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. Copyright © 2012 Zhongdi Cen et al.
Cen, Z., Le, A., & Xu, A. (2012). Exponential time integration and second-order difference scheme for a generalized black-scholes equation. Journal of Applied Mathematics, 2012. https://doi.org/10.1155/2012/796814