The discretization of the Black-Scholes option pricing model with volatile portfolio risk measure

Abstract

We study in this paper, the discretization of the Black-Scholes option pricing model with volatile portfolio risk measure to obtain the variational formulation of the Black-Scholes option pricing model with volatile portfolio risk measure. This we shall do by using an implicit discretization in time and standard PI conforming finite elements in space with respect to a simplicial triangulation of the spatial domain.