Variational and Topological Methods: Theory, Applications,
Numerical Simulations, and Open Problems.
Electron. J. Diff. Eqns., Conference 21 (2014), pp. 71-86.
Existence, uniqueness and numerical approximation of solutions to a
nonlinear integro-differential equation which arises in option pricing theory
Carsten Erdmann
Abstract:
This article studies the existence and uniqueness of solutions for a fully
nonlinear Black-Scholes equation which arises in option pricing theory
in connection with the jump and equilibrium model approach by using
delta-hedging arguments. We prove existence and uniqueness for this
nonlinear integro-differential equation by using a fixed point method.
The convergence of the numerical scheme, which is based on finite
differences, is also proved.
Published February 10, 2014.
Math Subject Classifications: 35K15, 35K67, 91G80.
Key Words: Option pricing; Black-Scholes equations; fully nonlinear equation,
integro-differential equation.
Show me the PDF(254 K),
TEX and other files for this article.
 |
Carsten Erdmann
Institute of Mathematics
Ulmenstras e 69
Haus 3, 18057 Rostock, Germany
email: dr@carsten-erdmann.de
|
|---|
Return to the table of contents
for this conference.
Return to the EJDE web page