Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory (Q704796): Difference between revisions
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Revision as of 03:39, 14 November 2024
scientific article
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| English | Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory |
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Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory (English)
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19 January 2005
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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.
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financial theory
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convergence
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viscosity solution
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numerical examples
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semilinear strongly degenerate parabolic integro-differential Cauchy problems
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option pricing
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