Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory

DOI10.1007/s00211-004-0530-0zbMath1065.65145OpenAlexW2076917666WikidataQ57777001 ScholiaQ57777001MaRDI QIDQ704796

Claudia La Chioma, Maya Briani, 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

zbMATH Keywords

convergenceviscosity solutionnumerical examplesoption pricingfinancial theorysemilinear strongly degenerate parabolic integro-differential Cauchy problems

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Integro-partial differential equations (45K05) Other nonlinear integral equations (45G10) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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