Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory (Q704796): Difference between revisions
From MaRDI portal
Latest revision as of 16:37, 7 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory |
scientific article |
Statements
Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory (English)
0 references
19 January 2005
0 references
The authors study the numerical approximation of a class of semilinear strongly degenerate parabolic integro-differential Cauchy problems. Convergence is shown for monotone schemes for viscosity solutions to problems arising in financial theory. Similar models arise in option pricing. Moreover, numerical tests are presented and analyzed.
0 references
financial theory
0 references
convergence
0 references
viscosity solution
0 references
numerical examples
0 references
semilinear strongly degenerate parabolic integro-differential Cauchy problems
0 references
option pricing
0 references
0 references
0 references
0 references
0 references
