Numerical solution of a nonlocal and nonlinear Black-Scholes model by means of discrete mollification
zbMATH Open1397.65136MaRDI QIDQ4683124FDOQ4683124
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
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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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