Revista Integración, temas de matemáticas.

Revista Integración, temas de matemáticas

Vol. 33 No. 2 (2015): Revista Integración
Research and Innovation Articles

Numerical solution of the non-local Black-Scholes model by means of discrete mollification

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  • Carlos D. Acosta,
  • Fernán C. Osorio
Carlos D. Acosta
Universidad Nacional de Colombia
Fernán C. Osorio
Universidad Nacional de Colombia
DOI: https://doi.org/10.18273/revint.v33n2-2015005

Published 2015-12-04

Keywords

  • Black-Scholes,
  • finite differences,
  • discrete mollification

How to Cite

Acosta, C. D., & Osorio, F. C. (2015). Numerical solution of the non-local Black-Scholes model by means of discrete mollification. Revista Integración, Temas De matemáticas, 33(2), 145–160. https://doi.org/10.18273/revint.v33n2-2015005

Abstract

The objective of this paper is to study a numerical approximation of a non-local Black-Scholes equation, by means of techniques of discrete mollification and finite differences. We analyze stability of the proposed numerical scheme through monotony and show examples that illustrate its  capabilities.

To cite this article: C.D. Acosta, F.C. Osorio, Solución numérica del modelo Black-Scholes no local por molificación discreta, Rev. Integr. Temas Mat. 33 (2015), No. 2, 145–160.

 
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