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
Hauptverfasser: Mohammad Mehdizadeh Khalsaraei, Nashmil Osmani
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.
ISSN:2322-5807
2423-3900