Research Article
Exponential Time Integration and Second-Order Difference Scheme for a Generalized Black-Scholes Equation
Table 1
Numerical results for Test 1.
| M | N | Exponential method | Implicit Euler method | Error | Rate | Error | Rate |
| 16 | 64 | | — | | — | 32 | 128 | | 2.099 | | 0.992 | 64 | 256 | | 0.896 | | 0.936 |
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