مشخصات پژوهش

عنوان	Qualitatively Stable Nonstandard Finite Difference Scheme for Numerical Solution of the Nonlinear Black–Scholes Equation
نوع پژوهش	مقاله چاپ‌شده در مجلات علمی
کلیدواژه‌ها	Convergence, Nonlinear Black-Scholes equation, Nonstandard finite difference, Option pricing, Positivity-preserving, Stability.
چکیده	In this paper, we use a numerical method for solving the nonlinear Black–Scholes partial differential equation of the European option under transaction costs, which is based on the nonstandard discretization of the spatial derivatives. )e proposed scheme, in addition to the unconditional positivity, is stable, consistent, and monotone. In order to illustrate the efficiency of the new method, numerical results have been performed by four models.
پژوهشگران	حمید محمد صدیقی (نفر چهارم)، زهرا محمدنیا (نفر سوم)، علی شکری (نفر دوم)، محمد مهدی زاده خالسرایی (نفر اول)