Resumo

ACOSTA, CARLOS D  e  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

Palavras-chave : Black-Scholes; finite differences; discrete mollification.

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