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~person:"Azcue, Pablo"
~person:"Düring, Bertram"
~person:"Schuhmann, Patrick"
~subject:"numerical convergence"
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numerical convergence
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Azcue, Pablo
Düring, Bertram
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Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation
Fournié, Michel
;
Düring, Bertram
;
Jüngel, Ansgar
-
2004
difference solution converges locally uniformly to the unique
viscosity
solution
of the continuous equation. The proof is based …
Persistent link: https://www.econbiz.de/10010263420
Saved in:
2
Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation
Düring, Bertram
;
Fournié, Michel
;
Jüngel, Ansgar
-
Zentrum für Finanzen und Ökonometrie, Fachbereich …
-
2004
difference solution converges locally uniformly to the unique
viscosity
solution
of the continuous equation. The proof is based …
Persistent link: https://www.econbiz.de/10005357912
Saved in:
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