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 Monotone Finite-Difference Schemes with Second Order Approximation Based on Regularization Approach for the Dirichlet Boundary Problem of the Gamma Equation
Tác giả hoặc Nhóm tác giả: Le Minh Hieu; Truong Thi Hieu Hanh; Dang Ngoc Hoang Thanh
Nơi đăng: IEEE Access (ISI - Q1 - DOI: 10.1109/ACCESS.2020.2978594); Số: 8;Từ->đến trang: 45119 - 45132;Năm: 2020
Lĩnh vực: Tự nhiên; Loại: Bài báo khoa học; Thể loại: Quốc tế
TÓM TẮT
We investigate the initial boundary value problem for the Gamma equation transformed from the nonlinear Black-Scholes equation for pricing option to a quasilinear parabolic equation of second derivative. Furthermore, two-side estimates for the exact solution are also provided. By using regularization principle, the unconditionally monotone second order approximation finite-difference scheme on uniform and nonuniform grids is generalized, in that the maximum principle is satisfied without depending on relations of the coefficients and grid parameters. By using the difference maximum principle, we acquired two-side estimates for difference solution for the arbitrary non-sign-constant input data. Finally, we also provide a proof for a priori estimate. It can be confirmed that the two-side estimates for difference solution are completely consistent with the differential problem. Otherwise, the maximal and minimal values of the difference solution is independent from the diffusion and convection coefficients.
ABSTRACT
We investigate the initial boundary value problem for the Gamma equation transformed from the nonlinear Black-Scholes equation for pricing option to a quasilinear parabolic equation of second derivative. Furthermore, two-side estimates for the exact solution are also provided. By using regularization principle, the unconditionally monotone second order approximation finite-difference scheme on uniform and nonuniform grids is generalized, in that the maximum principle is satisfied without depending on relations of the coefficients and grid parameters. By using the difference maximum principle, we acquired two-side estimates for difference solution for the arbitrary non-sign-constant input data. Finally, we also provide a proof for a priori estimate. It can be confirmed that the two-side estimates for difference solution are completely consistent with the differential problem. Otherwise, the maximal and minimal values of the difference solution is independent from the diffusion and convection coefficients.
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