• 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