چکیده
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An implicit finite difference scheme for the numerical solution of a generalized Black–
Scholes equation is presented. The method is based on the nonstandard finite difference technique.
The positivity property is discussed and it is shown that the proposed method is consistent, stable
and also the order of the scheme respect to the space variable is two. As the Black–Scholes model
relies on symmetry of distribution and ignores the skewness of the distribution of the asset, the
proposed method will be more appropriate for solving such symmetric models. In order to illustrate
the efficiency of the new method, we applied it on some test examples. The obtained results confirm
the theoretical behavior regarding the order of convergence. Furthermore, the numerical results
are in good agreement with the exact solution and are more accurate than other existing results in
the literature.
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