Numerical solution to a nonlocal and nonlinear Black-Scholes model by discrete mollification
Published in Revista Colombiana de Matemáticas, 2017
Recommended citation: L. Aguirre, H. Contreras and C.D. Acosta (2017). " Numerical solution to a nonlocal and nonlinear Black-Scholes model by discrete mollification " (in Spanish); Revista Colombiana de Matemáticas 51(2), pp.195-220. http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0034-74262017000200195&lng=en&nrm=iso
In this paper, we study a nonlinear nonlocal Black-Scholes model by means of the methods of finite differences, numerical integration and discrete mollification. In this model, conditions for stability and convergence of the discretization proposed are discussed.
Recommended citation: L. Aguirre, H. Contreras and C.D. Acosta (2017). " Numerical solution to a nonlocal and nonlinear Black-Scholes model by discrete mollification " (in Spanish) Revista Colombiana de Matemáticas 51(2), pp.195-220.