Resumen

ACOSTA, CARLOS D  y  OSORIO, FERNÁN C. Numerical solution of the non-local Black-Scholes model by means of discrete mollification. Integración - UIS [online]. 2015, vol.33, n.2, pp.145-160. ISSN 0120-419X.

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

Palabras clave : Black-Scholes; finite differences; discrete mollification.

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