1403/10/26

محمد مهدی زاده خالسرایی

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

مشخصات پژوهش

عنوان
Qualitatively Stable Nonstandard Finite Difference Scheme for Numerical Solution of the Nonlinear Black–Scholes Equation
نوع پژوهش
JournalPaper
کلیدواژه‌ها
Convergence, Nonlinear Black-Scholes equation, Nonstandard finite difference, Option pricing, Positivity-preserving, Stability.
سال
2021
مجله Journal of Mathematics
شناسه DOI
پژوهشگران Mohammad Mehdizadeh ، Ali Shokri Shokri ، Zahra Mohammadnia ، Hamid Mohammad Sedighi

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.