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AuthorArakelyan A.
AuthorBarkhudaryan R.
AuthorShahgholian H.
AuthorSalehi M.
Available date2020-04-25T01:02:20Z
Publication Date2019
Publication NameBulletin of the Iranian Mathematical Society
ResourceScopus
ISSN10186301
URIhttp://dx.doi.org/10.1007/s41980-018-0119-5
URIhttp://hdl.handle.net/10576/14445
AbstractIn this paper, we continue to study a non-local free boundary problem arising in financial bubbles. We focus on the parabolic counterpart of the bubble problem and suggest an iterative algorithm which consists of a sequence of parabolic obstacle problems at each step to be solved, that in turn gives the next obstacle function in the iteration. The convergence of the proposed algorithm is proved. Moreover, we consider the finite difference scheme for this algorithm and obtain its convergence. At the end of the paper, we present and discuss computational results.
SponsorThis publication was made possible by NPRP Grant NPRP 5-088-1-021 from the Qatar National Research Fund (a member of Qatar Foundation).
Languageen
PublisherSpringer International Publishing
SubjectBlack-Scholes equation
Finite difference method
Free boundaries
Obstacle problem
Viscosity solution
TitleNumerical Treatment to a Non-local Parabolic Free Boundary Problem Arising in Financial Bubbles
TypeArticle
Pagination59-73
Issue Number1
Volume Number45
dc.accessType Abstract Only


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