Published
2016-12-12
Issue
Section
Articles
How to Cite
The Approximation Properties of the Numerical Scheme of the Black-Schole Equation with Volatile Portfolio Risk Measure
Bright O. Osu
Department of Mathematics Michael Okpara University of Agriculture, Umudike, Abia State, Nigeria
Chidinma Olunkwa
Department of mathematics Abia State University ,Uturu, Nigeria
DOI: https://doi.org/10.20448/journal.510/2016.3.1/510.1.23.31
Keywords: Sobolev space, Non-linear black-scholes equation, Transaction cost, Portfolio risk measure, Finite difference methods.
Abstract
We study the numerical approximation in space of the solution of Black-Schole’s equation with volatile portfolio risk measure. Making use of the theorem of solvability in Sobolev spaces, the solution is approximated in space, with finite –difference methods.