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The Approximation Properties of the Numerical Scheme of the Black-Schole Equation with Volatile Portfolio Risk Measure

Author

Listed:
  • Bright O. Osu
  • Chidinma Olunkwa

Abstract

We study the numerical approximation in space of the solution of Black-Schole’s equation with volatile portfolio risk measure. Making use of the theorem of solvability in Sobolev spaces, the solution is approximated in space, with finite –difference methods.

Suggested Citation

  • Bright O. Osu & Chidinma Olunkwa, 2016. "The Approximation Properties of the Numerical Scheme of the Black-Schole Equation with Volatile Portfolio Risk Measure," World Scientific Research, Asian Online Journal Publishing Group, vol. 3(1), pages 23-31.
    • Handle: RePEc:aoj:woscre:v:3:y:2016:i:1:p:23-31:id:750
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