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;
2016

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.
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11586/139508
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact