A FAMILY OF POSITIVE NONSTANDARDNUMERICAL METHODS WITH APPLICATION TOBLACK-SCHOLES EQUATION

MOHAMMAD MEHDIZADEH KHALSARAEI; NASHMIL OSMANI

A FAMILY OF POSITIVE NONSTANDARDNUMERICAL METHODS WITH APPLICATION TOBLACK-SCHOLES EQUATION

Publish place: Sahand Communications in Mathematical Analysis، Vol: 5، Issue: 1

Publish Year: 1395

نوع سند: مقاله ژورنالی

زبان: English

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https://civilica.com/doc/602991

شناسه ملی سند علمی:

JR_SCMA-5-1_002

تاریخ نمایه سازی: 12 تیر 1396

Abstract:

Nonstandard finite difference schemes for the BlackScholes partial differential equation preserving the positivity property are proposed. Computationally simple schemes are derived byusing a nonlocal approximation in the reaction term of the BlackScholes equation. Unlike the standard methods, the solutions ofnew proposed schemes are positive and free of the spurious oscillations.

Keywords:

Black-Scholes equation , Option pricing , Finite differencescheme , Positivity-preserving

Authors

MOHAMMAD MEHDIZADEH KHALSARAEI

Department of Mathematics, Faculty of Science, University of Maragheh,Maragheh, Iran.

NASHMIL OSMANI

Department of Mathematics, Faculty of Science, University of Maragheh,Maragheh, Iran