KOPS - Das Institutionelle Repositorium der Universität Konstanz

Convergence of a high-order compact finite difference scheme for a nonlinear Black-Schools equation

Convergence of a high-order compact finite difference scheme for a nonlinear Black-Schools equation

Zitieren

Dateien zu dieser Ressource

Prüfsumme: MD5:36c6705c5faaab65c3c8aea02c6c31f9

DÜRING, Bertram, Michel FOURNIÉ, Ansgar JÜNGEL, 2004. Convergence of a high-order compact finite difference scheme for a nonlinear Black-Schools equation

@techreport{During2004Conve-12129, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Convergence of a high-order compact finite difference scheme for a nonlinear Black-Schools equation}, year={2004}, number={2004/02}, author={Düring, Bertram and Fournié, Michel and Jüngel, Ansgar} }

<rdf:RDF xmlns:dcterms="http://purl.org/dc/terms/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#" xmlns:foaf="http://xmlns.com/foaf/0.1/" xmlns:void="http://rdfs.org/ns/void#" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/12129"> <dc:creator>Fournié, Michel</dc:creator> <dc:contributor>Düring, Bertram</dc:contributor> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/12129"/> <dc:rights>deposit-license</dc:rights> <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/12129/1/04-02.pdf"/> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dc:language>eng</dc:language> <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/46"/> <dc:contributor>Jüngel, Ansgar</dc:contributor> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dcterms:issued>2004</dcterms:issued> <dcterms:rights rdf:resource="http://nbn-resolving.org/urn:nbn:de:bsz:352-20140905103416863-3868037-7"/> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:42:53Z</dcterms:available> <dc:creator>Jüngel, Ansgar</dc:creator> <dc:creator>Düring, Bertram</dc:creator> <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/46"/> <dcterms:title>Convergence of a high-order compact finite difference scheme for a nonlinear Black-Schools equation</dcterms:title> <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/12129/1/04-02.pdf"/> <dcterms:abstract xml:lang="eng">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.</dcterms:abstract> <dc:contributor>Fournié, Michel</dc:contributor> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:42:53Z</dc:date> <dc:format>application/pdf</dc:format> </rdf:Description> </rdf:RDF>

Dateiabrufe seit 01.10.2014 (Informationen über die Zugriffsstatistik)

04-02.pdf 39

Das Dokument erscheint in:

KOPS Suche


Stöbern

Mein Benutzerkonto