Author/Authors :
-، - نويسنده Department of Mathematics, Faculty of Science, University of Maragheh, Maragheh, Iran. Mehdizadeh Khalsaraei, Mohammad , -، - نويسنده Department of Mathematics, Faculty of Science, University of Maragheh, Maragheh, Iran. Osmani, Nashmil
Abstract :
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.
