شماره ركورد كنفرانس :
4091
عنوان مقاله :
Nonstandard θ-method with positivity preserving property
پديدآورندگان :
Osmani N N.osmani2013@gmail.com University of Maragheh, Maragheh, Iran.
كليدواژه :
θ , method , Option pricing , Nonstandard finite difference method , Positivity
عنوان كنفرانس :
ششمين سمينار آناليز عددي و كاربردهاي آن
چكيده فارسي :
Using well known θ-method for Black-Scholes equation in the presence of discontinuous payoff generate spurious oscillations and negative values. In this paper we modify the θmethod by replacing two nonstandard expressions in the Black-Scholes equation that cause to overcome the drawbacks mentioned.