Mathematical Models and Methods in Applied Sciences · 1995 · 135 citations · 0 references
Natural SciencesFinanceMathematicsFinancial EconomicsFinancial ModelingQuantitative FinanceConvergence AnalysisNumerical AnalysisNumerical ConvergenceNumerical Methods For Differential EquationsNumerical Methods In FinanceNumerical StabilityConvergenceParabolic Equation SchemesStability Of Numerical Schemes
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 however new results concerning some problems of rate of convergence.