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Revista Colombiana de Matemáticas
versión impresa ISSN 0034-7426
Resumen
CONTRERAS, HAROLD; ACOSTA, CARLOS DANIEL y AGUIRRE, LORENA. Numerical solution of a nonlocal and nonlinear Black-Scholes model by means of discrete mollification. Rev.colomb.mat. [online]. 2017, vol.51, n.2, pp.195-220. ISSN 0034-7426.
In this paper, we study a nonlinear nonlocal Black-Scholes model by means of the methods of finite differences, numerical integration and discrete mollification. In this model, conditions for stability and convergence of the discretization proposed are discussed.
Palabras clave : Non local Black-Scholes equation; finite differences; discrete mollification.