The Approximation Properties of the Numerical Scheme of the Black-Schole Equation with Volatile Portfolio Risk Measure

Bright O. Osu and Chidinma Olunkwa

World Scientific Research, 2016, vol. 3, issue 1, 23-31

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.

Keywords: Sobolev space; Non-linear black-scholes equation; Transaction cost; Portfolio risk measure; Finite difference methods. (search for similar items in EconPapers)
Date: 2016
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