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

Bright O. Osu

Department of Mathematics Michael Okpara University of Agriculture, Umudike, Abia State, Nigeria

Chidinma Olunkwa

Department of mathematics Abia State University ,Uturu, Nigeria


Keywords: Sobolev space, Non-linear black-scholes equation, Transaction cost, Portfolio risk measure, Finite difference methods.


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.


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