مشخصات پژوهش

عنوان	A family of positivity preserving schemes for numerical solution of Black–Scholes equation
عنوان مجله	International Journal of Financial Engineering
نوع پژوهش	مقاله چاپ شده
کلیدواژه‌ها	Finite differences; M-matrix; Black–Scholes equation; positivity preserving; nonstandard discretization
چکیده	When one solves the Black–Scholes partial differential equation, it is of great important that numerical scheme to be free of spurious oscillations and satisfy the positivity requirement. With positivity, we mean, the component non-negativity of the initial vector, is preserved in time for the exact solution. Numerically, such property for fully implicit scheme is not always satisfied by approximated solutions and they generate spurious oscillations in the presence of discontinuous payoff. In this paper, by using the nonstandard discretization strategy, we propose a new scheme that is free of spurious oscillations and satisfies the positivity requirement.
پژوهشگران	محمدمهدی زاده خالسرایی (نفر اول)، رضاشکری جهاندیزی (نفر دوم)