Carsten Erdmann
Abstract:
This article studies the existence and uniqueness of solutions for a fully
nonlinear Black-Scholes equation which arises in option pricing theory
in connection with the jump and equilibrium model approach by using
delta-hedging arguments. We prove existence and uniqueness for this
nonlinear integro-differential equation by using a fixed point method.
The convergence of the numerical scheme, which is based on finite
differences, is also proved.
Published February 10, 2014.
Math Subject Classifications: 35K15, 35K67, 91G80.
Key Words: Option pricing; Black-Scholes equations; fully nonlinear equation,
integro-differential equation.
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Carsten Erdmann Institute of Mathematics Ulmenstras e 69 Haus 3, 18057 Rostock, Germany email: dr@carsten-erdmann.de |
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