مشخصات پژوهش

عنوان	A positivity preserving nonstandard nite di erence scheme for solving Black-Scholes equation
نوع پژوهش	مقاله ارائه شده کنفرانسی
کلیدواژه‌ها	Black-Scholes equation, European option pricing, Nonstandard nite difference scheme, Positivity-preserving.
چکیده	In this paper, we propose a modi ed scheme by using a nonstandard discretization technique of the reaction term in Black-Scholes equation within the strategy suggested by Milev and Tagliani. The proposed scheme is positivity preserving and free of spurious oscillations.
پژوهشگران	نشمیل عثمانی (نفر اول)، محمد مهدی زاده خالسرایی (نفر دوم)