Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
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Publication:704796
DOI10.1007/S00211-004-0530-0zbMATH Open1065.65145DBLPjournals/nm/BrianiCN04OpenAlexW2076917666WikidataQ57777001 ScholiaQ57777001MaRDI QIDQ704796FDOQ704796
Authors: Maya Briani, Claudia La Chioma, Roberto Natalini 
Publication date: 19 January 2005
Published in: Numerische Mathematik (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00211-004-0530-0
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convergencenumerical examplesoption pricingviscosity solutionfinancial theorysemilinear strongly degenerate parabolic integro-differential Cauchy problems
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Numerical methods for integral equations (65R20) Other nonlinear integral equations (45G10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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Cited In (46)
- Truncation of computational domains as an error control strategy for approximating option pricing involving PIDEs
- Numerical stability of a hybrid method for pricing options
- Inflation, central bank and short-term interest rates: a new model with calibration to market data
- Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation
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- A semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump-diffusion
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- THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
- Convergence analysis of a parabolic nonlinear system arising in biology
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