Resource title

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

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Resource description

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.

Resource author

Michel Fournié, Bertram Düring, Ansgar Jüngel

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/23564

Resource license

Adapt according to the presented license agreement and reference the original author.