CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY

被引：75

作者：

BARLES, G

DAHER, C

ROMANO, M

机构：

[1] CAISSE AUTONOME REFINANCEMENT,F-75007 PARIS,FRANCE

[2] ECOLE NORMALE SUPER,F-75231 PARIS 05,FRANCE

来源：

MATHEMATICAL MODELS & METHODS IN APPLIED SCIENCES | 1995年 / 5卷 / 01期

关键词：

D O I：

10.1142/S0218202595000085

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We present several results and methods concerning the convergence of numerical schemes for problems arising in Finance theory. This paper is essentially expository but we present however new results concerning some problems of rate of convergence.

引用

页码：125 / 143

页数：19

共 28 条

[1] COMPARISON PRINCIPLE FOR DIRICHLET-TYPE HAMILTON-JACOBI EQUATIONS AND SINGULAR PERTURBATIONS OF DEGENERATED ELLIPTIC-EQUATIONS [J].

BARLES, G ;

PERTHAME, B .

APPLIED MATHEMATICS AND OPTIMIZATION, 1990, 21 (01) :21-44

[2]

Barles G., 1991, Asymptotic Analysis, V4, P271

[3] EXIT TIME PROBLEMS IN OPTIMAL-CONTROL AND VANISHING VISCOSITY METHOD [J].

BARLES, G ;

PERTHAME, B .

SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1988, 26 (05) :1133-1148

[4]

BARLES G, 1987, RAIRO-MATH MODEL NUM, V21, P557

[5] OPTIMAL-CONTROL ON THE L(INFINITY) NORM OF A DIFFUSION PROCESS [J].

BARLES, G ;

DAHER, C ;

ROMANO, M .

SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1994, 32 (03) :612-634

[6] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].

BLACK, F ;

SCHOLES, M .

JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :637-654

[7]

Cox J.C., 1985, OPTIONS MARKETS

[8] OPTION PRICING - SIMPLIFIED APPROACH [J].

COX, JC ;

ROSS, SA ;

RUBINSTEIN, M .

JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (03) :229-263

[9]

Crandall M.G., 1990, DIFFER INTEGRAL EQU, V3, P601

[10] USERS GUIDE TO VISCOSITY SOLUTIONS OF 2ND-ORDER PARTIAL-DIFFERENTIAL EQUATIONS [J].

CRANDALL, MG ;

ISHII, H ;

LIONS, PL .

BULLETIN OF THE AMERICAN MATHEMATICAL SOCIETY, 1992, 27 (01) :1-67

← 1 2 3 →