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Convergence of numerical schemes for parabolic equations arising in finance theory. (English) Zbl 0822.65056

Authors’ abstract: We present several results and methods concerning the convergence of numerical schemes for problems arising in finance theory. This paper is essentially expository but we present new results concerning some problems of rate of convergence.

MSC:

65M06 Finite difference methods for initial value and initial-boundary value problems involving PDEs
65M12 Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs
35K15 Initial value problems for second-order parabolic equations
91G60 Numerical methods (including Monte Carlo methods)
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