Convergence of a mimetic finite difference method for static diffusion equation.

Guevara-Jordan, J.M.; Rojas, S.; Freites-Villegas, M.; Castillo, J.E.

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2000 Mathematics Subject Classification: 65M06, 65M12. In this paper we explore the numerical diffusion introduced by two nonstandard finite difference schemes applied to the Black-Scholes partial differential equation for pricing discontinuous payoff and low volatility options. Discontinuities in the initial conditions require applying nonstandard non-oscillating finite difference schemes such as the exponentially fitted finite difference schemes suggested by D. Duffy and...