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Mohammad Mehdizadeh

Academic rank: Professor
ORCID:
Education: PhD.
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Faculty: 1
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Research

Title
A positivity preserving nonstandard nite di erence scheme for solving Black-Scholes equation
Type
Presentation
Keywords
Black-Scholes equation, European option pricing, Nonstandard nite difference scheme, Positivity-preserving.
Year
2016
Researchers NASHMIL OSMANI ، Mohammad Mehdizadeh

Abstract

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.