Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation (Q2036089)
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scientific article; zbMATH DE number 7363836
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| English | Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation |
scientific article; zbMATH DE number 7363836 |
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Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation (English)
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28 June 2021
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Summary: 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, is stable, consistent, and monotone. In order to illustrate the efficiency of the new method, numerical results have been performed by four models.
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0.9022226929664612
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