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.
تعداد صفحه
4
كليدواژه
θ , method , Option pricing , Nonstandard finite difference method , Positivity
سال انتشار
1395
عنوان كنفرانس
ششمين سمينار آناليز عددي و كاربردهاي آن
زبان مدرك
انگليسي
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.
كشور
ايران
لينک به اين مدرک