Numerical solution of a nonlocal and nonlinear Black-Scholes model by means of discrete mollification

MaRDI QIDQ4683124zbMATH OpenFDO

Authors Harold Deivi Contreras, Carlos D. Acosta, Lorena Aguirre

Publication date 19 September 2018

Full work available at URL http://www.scielo.org.co/pdf/rcm/v51n2/0034-7426-rcm-51-02-00195.pdf

zbMATH Keywords

finite differencesdiscrete mollificationnon-local Black-Scholes equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Integro-partial differential equations (35R09) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

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• Positivity Preserving Numerical Method for Non-linear Black-Scholes Models

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