Solución numérica del modelo Black-Scholes no local por molificación discreta

DOI10.18273/REVINT.V33N2-2015005zbMath1337.65180OpenAlexW2242363061MaRDI QIDQ2799714

Fernán C. Osorio, Carlos D. Acosta

Publication date: 13 April 2016

Published in: Revista Integración (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.18273/revint.v33n2-2015005

zbMATH Keywords

stabilitynumerical examplefinite differencesdiscrete mollificationnon-local Black-Scholes equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) 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) Numerical methods for ill-posed problems for integral equations (65R30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09)

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