EXISTENCE, UNIQUENESS AND NUMERICAL APPROXIMATION OF SOLUTIONS TO A NONLINEAR INTEGRO-DIFFERENTIAL EQUATION WHICH ARISES IN OPTION PRICING THEORY

被引：0

作者：

Erdmann, Carsten ^{[1
]}

机构：

[1] Inst Math, Ulmenstr 69,Haus 3, D-18057 Rostock, Germany

来源：

ELECTRONIC JOURNAL OF DIFFERENTIAL EQUATIONS | 2014年

关键词：

Option pricing; Black-Scholes equations; fully nonlinear equation; integro-differential equation; JUMP-DIFFUSION; CONVERGENCE;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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.

引用

页码：77 / 86

页数：10

共 36 条

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