Matches in SemOpenAlex for { <https://semopenalex.org/work/W2950523975> ?p ?o ?g. }
Showing items 1 to 71 of
71
with 100 items per page.
- W2950523975 abstract "In this paper we consider the stability and convergence of numerical discretizations of the Black-Scholes partial differential equation (PDE) when complemented with the popular linear boundary condition. This condition states that the second derivative of the option value vanishes when the underlying asset price gets large and is often applied in the actual numerical solution of PDEs in finance. To our knowledge, the only theoretical stability result in the literature up to now pertinent to the linear boundary condition has been obtained by Windcliff, Forsyth and Vetzal (2004) who showed that for a common discretization a necessary eigenvalue condition for stability holds. In this paper, we shall present sufficient conditions for stability and convergence when the linear boundary condition is employed. We deal with finite difference discretizations in the spatial (asset) variable and a subsequent implicit discretization in time. As a main result we prove that even though the maximum norm of exp(tM) ($tge 0$) can grow with the dimension of the semidiscrete matrix M, this generally does not impair the convergence behavior of the numerical discretizations. Our theoretical results are illustrated by ample numerical experiments." @default.
- W2950523975 created "2019-06-27" @default.
- W2950523975 creator A5035497098 @default.
- W2950523975 creator A5089346378 @default.
- W2950523975 date "2012-08-25" @default.
- W2950523975 modified "2023-09-27" @default.
- W2950523975 title "Stability and convergence analysis of discretizations of the Black-Scholes PDE with the linear boundary condition" @default.
- W2950523975 cites W1558501364 @default.
- W2950523975 cites W1975667832 @default.
- W2950523975 doi "https://doi.org/10.48550/arxiv.1208.5168" @default.
- W2950523975 hasPublicationYear "2012" @default.
- W2950523975 type Work @default.
- W2950523975 sameAs 2950523975 @default.
- W2950523975 citedByCount "0" @default.
- W2950523975 crossrefType "posted-content" @default.
- W2950523975 hasAuthorship W2950523975A5035497098 @default.
- W2950523975 hasAuthorship W2950523975A5089346378 @default.
- W2950523975 hasBestOaLocation W29505239751 @default.
- W2950523975 hasConcept C112972136 @default.
- W2950523975 hasConcept C119857082 @default.
- W2950523975 hasConcept C121332964 @default.
- W2950523975 hasConcept C134306372 @default.
- W2950523975 hasConcept C149782125 @default.
- W2950523975 hasConcept C158693339 @default.
- W2950523975 hasConcept C162324750 @default.
- W2950523975 hasConcept C163128081 @default.
- W2950523975 hasConcept C182310444 @default.
- W2950523975 hasConcept C2777303404 @default.
- W2950523975 hasConcept C28826006 @default.
- W2950523975 hasConcept C33923547 @default.
- W2950523975 hasConcept C41008148 @default.
- W2950523975 hasConcept C50522688 @default.
- W2950523975 hasConcept C62520636 @default.
- W2950523975 hasConcept C73000952 @default.
- W2950523975 hasConcept C91602232 @default.
- W2950523975 hasConcept C93779851 @default.
- W2950523975 hasConceptScore W2950523975C112972136 @default.
- W2950523975 hasConceptScore W2950523975C119857082 @default.
- W2950523975 hasConceptScore W2950523975C121332964 @default.
- W2950523975 hasConceptScore W2950523975C134306372 @default.
- W2950523975 hasConceptScore W2950523975C149782125 @default.
- W2950523975 hasConceptScore W2950523975C158693339 @default.
- W2950523975 hasConceptScore W2950523975C162324750 @default.
- W2950523975 hasConceptScore W2950523975C163128081 @default.
- W2950523975 hasConceptScore W2950523975C182310444 @default.
- W2950523975 hasConceptScore W2950523975C2777303404 @default.
- W2950523975 hasConceptScore W2950523975C28826006 @default.
- W2950523975 hasConceptScore W2950523975C33923547 @default.
- W2950523975 hasConceptScore W2950523975C41008148 @default.
- W2950523975 hasConceptScore W2950523975C50522688 @default.
- W2950523975 hasConceptScore W2950523975C62520636 @default.
- W2950523975 hasConceptScore W2950523975C73000952 @default.
- W2950523975 hasConceptScore W2950523975C91602232 @default.
- W2950523975 hasConceptScore W2950523975C93779851 @default.
- W2950523975 hasLocation W29505239751 @default.
- W2950523975 hasOpenAccess W2950523975 @default.
- W2950523975 hasPrimaryLocation W29505239751 @default.
- W2950523975 hasRelatedWork W1697484951 @default.
- W2950523975 hasRelatedWork W1978030763 @default.
- W2950523975 hasRelatedWork W2059582906 @default.
- W2950523975 hasRelatedWork W2384439970 @default.
- W2950523975 hasRelatedWork W2912679009 @default.
- W2950523975 hasRelatedWork W2950052959 @default.
- W2950523975 hasRelatedWork W3046880536 @default.
- W2950523975 hasRelatedWork W4297084911 @default.
- W2950523975 hasRelatedWork W4298743592 @default.
- W2950523975 hasRelatedWork W4376142133 @default.
- W2950523975 isParatext "false" @default.
- W2950523975 isRetracted "false" @default.
- W2950523975 magId "2950523975" @default.
- W2950523975 workType "article" @default.