مشخصات پژوهش

عنوان	An efficient nonstandard numerical method with positivity preserving property
نوع پژوهش	مقاله چاپ‌شده در مجلات علمی
کلیدواژه‌ها	positivity preserving, nonstandard finite differences, Black-Scholes equation.
چکیده	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.
پژوهشگران	رضا شکری جهاندیزی (نفر دوم)، محمد مهدی زاده خالسرایی (نفر اول)