Solución numérica del modelo Black-Scholes
no local por molificación discreta

CARLOS D. ACOSTA^*, FERNÁN C. OSORIO

Universidad Nacional de Colombia, Departamento de Matemática y Estadística, Manizales, Colombia.

Resumen. El objetivo de este artículo es estudiar una aproximación numérica de una ecuación de Black-Scholes no local, haciendo uso de técnicas de molificación discreta y diferencias finitas. Analizamos la estabilidad del esquema numérico propuesto mediante monotonía, y discutimos ejemplos numéricos que ilustran las bondades del método.

Palabras clave: Modelo Black-Scholes, diferencias finitas, molificación discreta.
MSC2010: 65M06, 65M12, 35R09.

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

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.

Keywords: Black-Scholes, finite differences, discrete mollification.

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References

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^*E-mail: cdacostam@unal.edu.co.
Recibido: 14 de mayo de 2015, Aceptado: 16 de octubre 2015.
Para citar este artículo: 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.