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Qualitatively Stable Schemes for the Black–Scholes Equation

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,...

Celý popis

Uloženo v:
Hlavní autoři: Mohammad Mehdizadeh Khalsaraei, Ali Shokri, Yuanheng Wang, Sohrab Bazm, Giti Navidifar, Pari Khakzad
Médium: Artigo
Jazyk:Inglês
Vydáno: MDPI AG 2023-02-01
Edice:Fractal and Fractional
Témata:
Black–Scholes equation
Laplace transform
nonstandard finite difference method
positivity preserving
On-line přístup:https://www.mdpi.com/2504-3110/7/2/154
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