Qualitatively Stable Nonstandard Finite Difference Scheme for Numerical Solution of the Nonlinear Black–Scholes Equation
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. The proposed scheme, in addition to the unconditional positivity...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2021-01-01
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| Series: | Journal of Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2021/6679484 |
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