Nashmil Osmani

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

[ 1 ] - 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 solutions of new proposed schemes are positive and free of the spurious oscillations.

نویسندگان همکار