Title of article
A family of positive nonstandard numerical methods with application to Black-Scholes equation
Author/Authors
-، - نويسنده Department of Mathematics, Faculty of Science, University of Maragheh, Maragheh, Iran. Mehdizadeh Khalsaraei, Mohammad , -، - نويسنده Department of Mathematics, Faculty of Science, University of Maragheh, Maragheh, Iran. Osmani, Nashmil
Issue Information
دوفصلنامه با شماره پیاپی 5 سال 2017
Pages
10
From page
31
To page
40
Abstract
-
Abstract
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.
Journal title
Sahand Communications in Mathematical Analysis
Journal title
Sahand Communications in Mathematical Analysis
Record number
2399037
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