A family of positivity preserving schemes for numerical solution of Black-Scholes equation
M. Mehdizadeh Khalsaraei and R. Shokri Jahandizi
| Year of publication: |
December 2016
|
|---|---|
| Authors: | Khalsaraei, M. Mehdizadeh ; Jahandizi, R. Shokri |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 3.2016, 4, p. 1-8
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| Subject: | Finite differences | M-matrix | Black-Scholes equation | positivity preserving | nonstandard discretization | Black-Scholes-Modell | Black-Scholes model | Optionspreistheorie | Option pricing theory |