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Zbl 1065.65145
Briani, Maya; La Chioma, Claudia; Natalini, Roberto
Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory. (English)
[J] Numer. Math. 98, No. 4, 607-646 (2004). ISSN 0029-599X; ISSN 0945-3245/e

The authors study the numerical approximation of a class of semilinear strongly degenerate parabolic integro-differential Cauchy problems. Convergence is shown for monotone schemes for viscosity solutions to problems arising in financial theory. Similar models arise in option pricing. Moreover, numerical tests are presented and analyzed.
[Lechoslaw Hacia (Poznań)]

MSC 2000:: *65R20 Integral equations (numerical methods)
45K05 Integro-partial differential equations
45G10 Nonsingular nonlinear integral equations
49L25 Viscosity solutions
91B28 Finance etc.

Keywords: financial theory; convergence; viscosity solution; numerical examples; semilinear strongly degenerate parabolic integro-differential Cauchy problems; option pricing

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