A Positivity-Preserving Numerical Scheme for Nonlinear Option Pricing Models

A positivity-preserving numerical method for nonlinear Black-Scholes models is developed in this paper. The numerical method is based on a nonstandard approximation of the second partial derivative. The scheme is not only unconditionally stable and positive, but also allows us to solve the discrete...

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Bibliographic Details
Main Authors: Shengwu Zhou, Wei Li, Yu Wei, Cui Wen
Format: Article
Language:English
Published: Hindawi Limited 2012-01-01
Series:Journal of Applied Mathematics
Online Access:http://dx.doi.org/10.1155/2012/205686