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hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorBaptiste, Julien
HAL ID: 735376
ORCID: 0000-0002-4297-3455
*
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorLépinette, Emmanuel*
dc.date.accessioned2017-10-31T14:22:23Z
dc.date.available2017-10-31T14:22:23Z
dc.date.issued2017-04
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16885
dc.language.isoenen
dc.subjectFinancial market modelsen
dc.subjectLiquidation valueen
dc.subjectTransaction costsen
dc.subjectEuropean optionsen
dc.subject.ddc519en
dc.titleTime discretization of diffusion equations: a functional scheme.en
dc.typeDocument de travail / Working paper
dc.description.abstractenWe introduce a seemingly new functional scheme which approximates diffusion equations. Contrarily to classical numerical methods, in particular finite difference methods, the principle is only based on a discretization in time. We establish the uniform convergence in time of the scheme and provide the rate of convergence. We illustrate the convergence by numerical examples .en
dc.identifier.citationpages12en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01507267en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2017-04
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2017-10-31T14:19:56Z
hal.author.functionaut
hal.author.functionaut


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