Publikation: Convergence of a high-order compact finite difference scheme for a nonlinear Black-Schools equation
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2004
Autor:innen
Düring, Bertram
Fournié, Michel
Jüngel, Ansgar
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Zusammenfassung
A high-order compact finite difference scheme for a fully nonlinear parabolic differential equation is analyzed. The equation arises in the modeling of option prices in financial markets with transaction costs. It is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. The proof is based on a careful study of the discretization matrices and on an abstract convergence result due to Barles and Souganides.
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330 Wirtschaft
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High-order compact finite differences, numerical convergence, viscosity solution, financial derivates
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DÜRING, Bertram, Michel FOURNIÉ, Ansgar JÜNGEL, 2004. Convergence of a high-order compact finite difference scheme for a nonlinear Black-Schools equationBibTex
@techreport{During2004Conve-12129,
year={2004},
series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
title={Convergence of a high-order compact finite difference scheme for a nonlinear Black-Schools equation},
number={2004/02},
author={Düring, Bertram and Fournié, Michel and Jüngel, Ansgar}
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