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Finite differences schemes for integro-differential equations in financial mathematics
R. Natalini, Consiglio Nazionale delle Ricerche, Rome, Italy
Wednesday, June 25
at 11.00
in HG F26.5
We study the numerical approximation of viscosity solutions for integro-differential, possibly degenerate, parabolic problems. Similar models arise in option pricing, to generalize the celebrated Black-Scholes equation, when the processes which generate the underlying stock returns may contain both a continuous part and jumps. Convergence is proven for monotone schemes. High-order IMEX (implicit-explicit) finite differences schemes are also introduced to allow larger time steps. Various numerical tests will be presented and discussed.
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