A family of positive nonstandard numerical methods with application to Black-Scholes equation
Nonstandard finite difference schemes for the Black-Scholes partial differential equation preserving the positivity property are proposed. Computationally simple schemes are derived by using a nonlocal approximation in the reaction term of the Black-Scholes equation. Unlike the standard methods, the...
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Veröffentlicht in: | Sahand communications in mathematical analysis 2017-12, Vol.5 (1), p.31-40 |
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Format: | Artikel |
Sprache: | eng |
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Zusammenfassung: | Nonstandard finite difference schemes for the Black-Scholes partial differential equation preserving the positivity property are proposed. Computationally simple schemes are derived by using a nonlocal approximation in the reaction term of the Black-Scholes equation. Unlike the standard methods, the solutions of new proposed schemes are positive and free of the spurious oscillations. |
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ISSN: | 2322-5807 2423-3900 |