Article1995

CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY

132 citations0/0 files storedMathematical Models and Methods in Applied Sciences

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Stochastic processes and financial applications Advanced Numerical Methods in Computational Mathematics Differential Equations and Numerical Methods

Abstract

We present several results and methods concerning the convergence of numerical schemes for problems arising in Finance theory. This paper is essentially expository but we present however new results concerning some problems of rate of convergence.

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