A Kernel-Based Algorithm for Numerical Solution of Nonlinear PDEs in Finance

  • Miglena N. Koleva
  • Lubin G. Vulkov
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 7116)

Abstract

We present an algorithm for approximate solutions to certain nonlinear model equations from financial mathematics, using kernels techniques (fundamental solution, Green’s function) for the linear Black-Scholes operator as a basis of the computation. Numerical experiments for comparison the accuracy of the algorithms with other known numerical schemes are discussed. Finally, observations are given.

Keywords

Transaction Cost Option Price Nonlinear PDEs Mesh Parameter Illiquid Market 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  • Miglena N. Koleva
    • 1
  • Lubin G. Vulkov
    • 1
  1. 1.University of RousseRousseBulgaria

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