شماره ركورد كنفرانس
4091
عنوان مقاله
A positivity preserving nonstandard finite difference scheme for solving Black-Scholes equation
پديدآورندگان
Osmani N N.osmani2013@gmail.com Department of Mathematics, Faculty of Science, University of Maragheh, Maragheh, Iran. , Mehdizadeh Khalsaraei M. Department of Mathematics, Faculty of Science, University of Maragheh,
تعداد صفحه
4
كليدواژه
Black , Scholes equation , European option pricing , Nonstandard finite difference scheme , Positivity , preserving.
سال انتشار
1395
عنوان كنفرانس
ششمين سمينار آناليز عددي و كاربردهاي آن
زبان مدرك
انگليسي
چكيده فارسي
In this paper, we propose a modified scheme by using a nonstandard discretization technique of the reaction term in Black-Scholes equation within the strategy suggested by Milev and Tagliani. The proposed scheme is positivity preserving and free of spurious oscillations.
كشور
ايران
لينک به اين مدرک