Numerical treatment to a non-local parabolic free boundary problem arising in financial bubbles
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Publication:1734182
DOI10.1007/s41980-018-0119-5zbMath1408.35225arXiv1704.08490MaRDI QIDQ1734182
Publication date: 22 March 2019
Published in: Bulletin of the Iranian Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1704.08490
finite difference method; viscosity solution; obstacle problem; Black-Scholes equation; free boundaries
91G60: Numerical methods (including Monte Carlo methods)
65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs
91G80: Financial applications of other theories
35R35: Free boundary problems for PDEs
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
35D40: Viscosity solutions to PDEs