scholarly journals Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme

2013 ◽  
Vol 9 (2) ◽  
pp. 365-389 ◽  
Author(s):  
Wen Li ◽  
◽  
Song Wang
Keyword(s):  
Finite Difference ◽  
Difference Scheme ◽  
Transaction Costs ◽  
Finite Difference Scheme ◽  
American Options ◽  
Proportional Transaction Costs ◽  
Penalty Approach

scholarly journals The convergence of a numerical method for total variation flow

2021 ◽  
Vol 15 ◽  
pp. 174830262110113
Author(s):  
Qianying Hong ◽  
Ming-jun Lai ◽  
Jingyue Wang
Keyword(s):  
Finite Difference ◽  
Difference Scheme ◽  
Numerical Method ◽  
Convergence Analysis ◽  
Total Variation ◽  
Iterative Algorithm ◽  
Finite Difference Scheme ◽  
Gradient Flow ◽  
Time Dependent ◽  
Total Variation Flow

We present a convergence analysis for a finite difference scheme for the time dependent partial different equation called gradient flow associated with the Rudin-Osher-Fetami model. We devise an iterative algorithm to compute the solution of the finite difference scheme and prove the convergence of the iterative algorithm. Finally computational experiments are shown to demonstrate the convergence of the finite difference scheme.

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