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.

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.

We study the eeect of stochastic volatility on option prices. In the fast-mean reversion model for stochastic volatility of 5], we show that there is a full asymptotic expansion for the option price, centered at the Black-Scholes price. We show, however, that this price does not converge in a strong sense to Black-Scholes as the mean-reversion rate increases. We also introduce a general (possib...

A Computational Analysis of the Black-Scholes Equations by Yifan Wang This paper explores the most decorated option pricing model in recent history of the financial industry: the Black-Scholes Equation. We will first study the framework of the Black-Scholes Equation in detail by introducing its object of evaluation, distinguished assumptions, and deduction of the Black-Scholes partial different...

We show that a formalism for analyzing the near-horizon conformal symmetry of Schwarzschild black holes using a scalar field probe is capable of describing black hole decay. The equation governing black hole decay can be identified as the geodesic equation in the space of black hole masses. This provides a novel geometric interpretation for the decay of black holes. Moreover, this approach pred...

We study a revised version of Witten’s 2d black hole, in which the matter and (b, c) ghosts are mixed. The level of the coset model is still 9/4. We show that this model is equivalent to that of Mukhi and Vafa, in which the level of the coset model is taken as 3, and the stress tensor is improved. We argue that the exact metric in such a model is just the semi-classical one, quite different fro...

It has been, recently pointed out that the initial value problem in new inflation models is naturally solved by supergravity effects if there exists a pre-inflation before the new inflation. We study this double inflation model in details and find that density fluctuations on small cosmological scales are much larger than those on large scales due to peculiar property of the new inflation. We s...

We consider an economic model with a deterministic money market account and a finite set of basic economic risks. The real-world prices of the risks are represented by continuous time stochastic processes satisfying a stochastic differential equation of diffusion type. For the simple class of log-normally distributed instantaneous rates of return, we construct an explicit state-price deflator. ...

This paper studies several aspects of asymptotically hyperbolic Einstein metrics, mostly on 4-manifolds. We prove boundary regularity (at infinity) for such metrics and establish uniqueness under natural conditions on the boundary data. By examination of explicit black hole metrics, it is shown that neither uniqueness nor finiteness holds in general for AH Einstein metrics with a prescribed con...