In this paper we present a finite difference scheme to approximate viscosity solutions of a class of partial integro-differential equations describing pricing under model uncertainty. We establish that the approximations converge to the unique viscosity solution as the discretization parameter tends to zero, and give an asymptotic rate of the convergence. We also present several numerical examples showing this convergence.
A convergent difference scheme for a class of partial integro-differential equations modeling pricing under uncertainty / Coclite, Giuseppe Maria; Reichmann, O.; Risebro, N. H.. - In: SIAM JOURNAL ON NUMERICAL ANALYSIS. - ISSN 0036-1429. - 54:2(2016), pp. 588-605. [10.1137/15M1025530]
A convergent difference scheme for a class of partial integro-differential equations modeling pricing under uncertainty
COCLITE, Giuseppe Maria;
2016-01-01
Abstract
In this paper we present a finite difference scheme to approximate viscosity solutions of a class of partial integro-differential equations describing pricing under model uncertainty. We establish that the approximations converge to the unique viscosity solution as the discretization parameter tends to zero, and give an asymptotic rate of the convergence. We also present several numerical examples showing this convergence.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
