محمد مهدی زاده خالسرایی

Nonstandard nite dierence schemes for the Black- Scholes partial dierential 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.