Numerical solution of the non-local Black-Scholes model by means of discrete mollification
Numerical solution of the non-local Black-Scholes model by means of discrete mollification
The objective of this paper is to study a numerical approximation of a non-local Black-Scholes equation, by means of techniques of discrete mollification and finite differences. We analyze stability of the proposed numerical scheme through monotony and show examples that illustrate its capabilities El objetivo de este artículo es estudiar una aproximación numérica de una ecuación de Black-Scholes no local, haciendo uso de técnicas de molificación discreta y diferencias finitas. Analizamos la estabilidad del esquema numérico propuesto mediante monotonía, y discutimos ejemplos numéricos que ilustran las bondades del método
- National University of Colombia Colombia
Black-Scholes, finite differences, molificación discreta, Modelo Black-Scholes, discrete mollification, diferencias finitas
Black-Scholes, finite differences, molificación discreta, Modelo Black-Scholes, discrete mollification, diferencias finitas
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