1403/10/26
علی شکری

علی شکری

مرتبه علمی: استاد
ارکید:
تحصیلات: دکترای تخصصی
اسکاپوس:
دانشکده: دانشکده علوم پایه
نشانی:
تلفن:

مشخصات پژوهش

عنوان
Qualitatively Stable Schemes for the Black–Scholes Equation
نوع پژوهش
JournalPaper
کلیدواژه‌ها
Black–Scholes equation; Laplace transform; nonstandard finite difference method; positivity preserving
سال
2023
مجله Fractal and Fractional
شناسه DOI
پژوهشگران Mohammad Mehdizadeh ، Ali Shokri Shokri ، Yuanheng Wang Yuanheng Wang ، Sohrab Bazm ، Giti Navidifar ، pari khakzad

چکیده

In this paper, the Black–Scholes equation is solved using a new technique. This scheme is derived by combining the Laplace transform method and the nonstandard finite difference (NSFD) strategy. The qualitative properties of the method are discussed, and it is shown that the new method is positive, stable, and consistent when low volatility is assumed. The efficiency of the new method is demonstrated by a numerical example.