We analyze a model equation arising in option pricing. This model equation takes the form of a nonlinear, nonlocal diffusion equation. We prove the well posedness of the Cauchy problem for this equation. Furthermore, we introduce a semidiscrete difference scheme and show its rate of convergence.
A difference method for the McKean–Vlasov equation / Coclite, Giuseppe Maria; Risebro, Nils Henrik. - In: ZEITSCHRIFT FUR ANGEWANDTE MATHEMATIK UND PHYSIK. - ISSN 0044-2275. - STAMPA. - 70:5(2019). [10.1007/s00033-019-1196-x]
A difference method for the McKean–Vlasov equation
Coclite, Giuseppe Maria
;
2019-01-01
Abstract
We analyze a model equation arising in option pricing. This model equation takes the form of a nonlinear, nonlocal diffusion equation. We prove the well posedness of the Cauchy problem for this equation. Furthermore, we introduce a semidiscrete difference scheme and show its rate of convergence.File in questo prodotto:
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