Efficient implicit scheme with positivity preserving and smoothing properties
type: Item
instance of: scholarly article
title: Efficient implicit scheme with positivity preserving and smoothing properties
zbMATH Open document ID: 1258.91221
author: Mariyan Milev
author: Aldo Tagliani
published in: Journal of Computational and Applied Mathematics
publication date: 2013-02-21T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 65M12
zbMATH DE Number: 6138086
zbMATH Keywords: Black-Scholes equation
zbMATH Keywords: finite difference schemes
zbMATH Keywords: fully implicit scheme
zbMATH Keywords: \(M\)-matrix
zbMATH Keywords: non-smooth initial conditions
zbMATH Keywords: positivity-preserving
MaRDI profile type: Publication
full work available at URL: j.cam.2012.09.039
OpenAlex ID: W2085051954
DOI: 10.1016/J.CAM.2012.09.039
description: scientific article; zbMATH DE number 6138086