Space Discretization of Pdes with Unbounded Coefficients Connected to Option Pricing – the Case of One Spacial Dimension
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چکیده
We study the space discretization of the Cauchy problem for a second order linear parabolic PDE, with one spacial dimension and unbounded time and space-dependent coefficients. The equation free term and the initial data are also allowed to grow. Under a nondegeneracy assumption, we consider the PDE solvability in the framework of the variational approach, and approximate in space the PDE problem’s weak solution with the use of finite-difference methods. The rate of convergence is estimated.
منابع مشابه
Space Discretization of Pdes with Unbounded Coefficients Connected to Option Pricing – the Case of One Spatial Dimension
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 equation free term and the initial data are also allowed to grow. Under a nondegeneracy assumption, we consider the PDE solvability in the framework of the variational approach, and approximate in space the PDE probl...
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