A positive flux limited difference scheme for the uncertain correlation 2D Black–Scholes problem

摘要

We consider a two-asset non-linear model of option pricing in an environment where the correlation is not known precisely, as it varies between two known values. First we discuss the non-negativity of the solution of the problem. Next, we construct and analyze a positivity preserving, flux-limited finite difference scheme for the corresponding boundary value problem. Numerical experiments are analyzed.