مشخصات پژوهش

عنوان	A FAMILY OF POSITIVE NONSTANDARD NUMERICAL METHODS WITH APPLICATION TO BLACK-SCHOLES EQUATION
نوع پژوهش	مقاله چاپ‌شده در مجلات علمی
کلیدواژه‌ها	Black-Scholes equation, Option pricing, Finite di erence scheme, Positivity-preserving.
چکیده	Nonstandard nite di erence schemes for the Black- Scholes partial di erential equation preserving the positivity prop- erty are proposed. Computationally simple schemes are derived by using a nonlocal approximation in the reaction term of the Black- Scholes equation. Unlike the standard methods, the solutions of new proposed schemes are positive and free of the spurious oscilla- tions.
پژوهشگران	نشمیل عثمانی (نفر دوم)، محمد مهدی زاده خالسرایی (نفر اول)