2012 | OriginalPaper | Buchkapitel
A Kernel-Based Algorithm for Numerical Solution of Nonlinear PDEs in Finance
verfasst von : Miglena N. Koleva, Lubin G. Vulkov
Erschienen in: Large-Scale Scientific Computing
Verlag: Springer Berlin Heidelberg
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We present an algorithm for approximate solutions to certain nonlinear model equations from financial mathematics, using kernels techniques (fundamental solution, Green’s function) for the linear Black-Scholes operator as a basis of the computation. Numerical experiments for comparison the accuracy of the algorithms with other known numerical schemes are discussed. Finally, observations are given.