An approximation scheme for Black-Scholes equations with delays
نویسندگان
چکیده
This paper addresses a finite difference approximation for an infinite dimensional Black-Scholes equation obtained in Chang and Youree [5]. The equation arises from a consideration of an European option pricing problem in a market in which stock prices and the riskless asset prices have hereditary structures. Under a general condition on the payoff function of the option, it is shown that the pricing function is the unique viscosity solution of the infinite dimensional Black-Scholes equation. In addition, a finite difference approximation of the viscosity solution is provided and the convergence results are proved.
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ورودعنوان ژورنال:
- J. Systems Science & Complexity
دوره 23 شماره
صفحات -
تاریخ انتشار 2010