عنوان مجله
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Journal of Mathematical Modeling
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چکیده
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Classical explicit finite difference schemes are unsuitable for
the solution of the famous Black-Scholes partial differential equation, since
they impose severe restrictions on the time step. Furthermore, they may
produce spurious oscillations in the solution. We propose a new scheme
that is free of spurious oscillations and guarantees the positivity of the solution
for arbitrary stepsizes. The proposed method is constructed based
on a nonstandard discretization of the spatial derivatives and is applicable
to Black-Scholes equation in the presence of discontinues initial conditions.
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