A positivity-preserving numerical scheme for nonlinear option pricing models

DOI10.1155/2012/205686zbMath1264.91143OpenAlexW1963954594WikidataQ58906375 ScholiaQ58906375MaRDI QIDQ1952786

Wei Li, Cui Wen, Yu Wei, Sheng-Wu Zhou

Publication date: 3 June 2013

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/205686

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (2)

Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation ⋮ A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process

Cites Work

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