Monotone methods in counterparty risk models with nonlinear Black-Scholes-type equations

DOI10.1007/s40324-022-00306-0zbMath1527.35429arXiv2203.03028MaRDI QIDQ6055837

Bénédicte Alziary, Peter Takáč

Publication date: 29 September 2023

Published in: S\(\vec{\text{e}}\)MA Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2203.03028

zbMATH Keywords

nonlinear integral equationnonlinear Black-Scholes equationmonotone methodssemilinear parabolic Cauchy problemcounterparty risk modelsfixed point by monotone iterations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Credit risk (91G40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Semilinear parabolic equations (35K58) Topological and monotonicity methods applied to PDEs (35A16)

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