A FAMILY OF POSITIVE NONSTANDARDNUMERICAL METHODS WITH APPLICATION TOBLACK-SCHOLES EQUATION

Nonstandard finite difference schemes for the BlackScholes partial differential equation preserving the positivity property are proposed. Computationally simple schemes are derived byusing a nonlocal approximation in the reaction term of the BlackScholes equation. Unlike the standard methods, the solutions ofnew proposed schemes are positive and free of the spurious oscillations.

کلیدواژه ها:

Black-Scholes equation ، Option pricing ، Finite differencescheme ، Positivity-preserving