شماره ركورد كنفرانس :
4091
عنوان مقاله :
A positivity preserving nonstandard finite difference scheme for solving Black-Scholes equation
پديدآورندگان :
Osmani N N.osmani2013@gmail.com Department of Mathematics, Faculty of Science, University of Maragheh,
Maragheh, Iran. , Mehdizadeh Khalsaraei M. Department of Mathematics, Faculty of Science, University of Maragheh,
كليدواژه :
Black , Scholes equation , European option pricing , Nonstandard finite difference scheme , Positivity , preserving.
عنوان كنفرانس :
ششمين سمينار آناليز عددي و كاربردهاي آن
چكيده فارسي :
In this paper, we propose a modified scheme by using a nonstandard discretization technique of the reaction term in Black-Scholes equation within the strategy suggested by Milev and Tagliani. The proposed scheme is positivity preserving and free of spurious oscillations.
