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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
University of Maragheh
2017-01-01
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| Series: | Sahand Communications in Mathematical Analysis |
| Subjects: | |
| Online Access: | http://scma.maragheh.ac.ir/article_19335_cf08f2d957449d24abc0378c987a3ca6.pdf |