Skip navigation
Skip navigation
A change is coming. Click to see a sneak peek of the new Open Research Repository.

On the space discretization of pdes with unbounded coefficients arising in financial mathematics. a case of one spatial dimension

Request a Copy

Goncalves, Fernando F.; Grossinho, M; Morais, Eva

Description

We study the space discretization of the Cauchy problem for a second order linear parabolic PDE, with one spatial dimension and unbounded time and space-dependent coefficients. The PDE free term and the initial data are also allowed to grow. Under the assumption that the PDE does not degenerate, the problem's weak solution is approximated in space, with finite-difference methods. The rate of convergence is estimated. A numerical example is given in order to illustrate the theoretical results.

dc.contributor.authorGoncalves, Fernando F.
dc.contributor.authorGrossinho, M
dc.contributor.authorMorais, Eva
dc.date.accessioned2015-12-10T23:00:22Z
dc.identifier.issn1310-1331
dc.identifier.urihttp://hdl.handle.net/1885/61321
dc.description.abstractWe study the space discretization of the Cauchy problem for a second order linear parabolic PDE, with one spatial dimension and unbounded time and space-dependent coefficients. The PDE free term and the initial data are also allowed to grow. Under the assumption that the PDE does not degenerate, the problem's weak solution is approximated in space, with finite-difference methods. The rate of convergence is estimated. A numerical example is given in order to illustrate the theoretical results.
dc.publisherBulgarian Academy of Sciences
dc.sourceProceedings of the Bulgarian Academy of Sciences: Comptes Rendus de L'Academie Bulgare des Sciences
dc.subjectKeywords: Cauchy problem; Finite-difference method; Option pricing; Parabolic partial differential equations; Un-bounded coefficients
dc.titleOn the space discretization of pdes with unbounded coefficients arising in financial mathematics. a case of one spatial dimension
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume63
dc.date.issued2010
local.identifier.absfor010205 - Financial Mathematics
local.identifier.ariespublicationf2965xPUB603
local.type.statusPublished Version
local.contributor.affiliationGoncalves, Fernando F., University of Trasos-Montes e Alto Douro
local.contributor.affiliationGrossinho, M, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationMorais, Eva, Technical University of Lisboa
local.description.embargo2037-12-31
local.bibliographicCitation.issue1
local.bibliographicCitation.startpage35
local.bibliographicCitation.lastpage46
dc.date.updated2016-02-24T08:30:53Z
local.identifier.scopusID2-s2.0-76749101629
CollectionsANU Research Publications

Download

File Description SizeFormat Image
01_Goncalves_On_the_space_discretization_of_2010.pdf425.16 kBAdobe PDF    Request a copy
Show simple item record


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  17 November 2022/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator