Arbeitspapier

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

zu Verbundenen Objekten

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.

Sprache
Englisch

Erschienen in
Series: CoFE Discussion Paper ; No. 04/02

Klassifikation
Wirtschaft
Thema
High-order compact finite differences
numerical convergence
viscosity solution
financial derivatives
Black-Scholes-Modell
Nichtlineare Optimierung
Theorie

Ereignis
Geistige Schöpfung
(wer)
Fournié, Michel
Düring, Bertram
Jüngel, Ansgar
Ereignis
Veröffentlichung
(wer)
University of Konstanz, Center of Finance and Econometrics (CoFE)
(wo)
Konstanz
(wann)
2004

Handle
URN
urn:nbn:de:bsz:352-opus-11696
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

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Objekttyp

  • Arbeitspapier

Beteiligte

  • Fournié, Michel
  • Düring, Bertram
  • Jüngel, Ansgar
  • University of Konstanz, Center of Finance and Econometrics (CoFE)

Entstanden

  • 2004

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