An Unconditionally Stable, Positivity-Preserving Splitting Scheme for Nonlinear Black-Scholes Equation with Transaction Costs

المؤلفون المشاركون

Wang, Wansheng
Guo, Jianqiang

المصدر

The Scientific World Journal

العدد

المجلد 2014، العدد 2014 (31 ديسمبر/كانون الأول 2014)، ص ص. 1-11، 11ص.

الناشر

Hindawi Publishing Corporation

تاريخ النشر

2014-05-07

دولة النشر

مصر

عدد الصفحات

11

التخصصات الرئيسية

الطب البشري
تكنولوجيا المعلومات وعلم الحاسوب

الملخص EN

This paper deals with the numerical analysis of nonlinear Black-Scholes equation with transaction costs.

An unconditionally stable and monotone splitting method, ensuring positive numerical solution and avoiding unstable oscillations, is proposed.

This numerical method is based on the LOD-Backward Euler method which allows us to solve the discrete equation explicitly.

The numerical results for vanilla call option and for European butterfly spread are provided.

It turns out that the proposed scheme is efficient and reliable.

نمط استشهاد جمعية علماء النفس الأمريكية (APA)

Guo, Jianqiang& Wang, Wansheng. 2014. An Unconditionally Stable, Positivity-Preserving Splitting Scheme for Nonlinear Black-Scholes Equation with Transaction Costs. The Scientific World Journal،Vol. 2014, no. 2014, pp.1-11.
https://search.emarefa.net/detail/BIM-1049970

نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)

Guo, Jianqiang& Wang, Wansheng. An Unconditionally Stable, Positivity-Preserving Splitting Scheme for Nonlinear Black-Scholes Equation with Transaction Costs. The Scientific World Journal No. 2014 (2014), pp.1-11.
https://search.emarefa.net/detail/BIM-1049970

نمط استشهاد الجمعية الطبية الأمريكية (AMA)

Guo, Jianqiang& Wang, Wansheng. An Unconditionally Stable, Positivity-Preserving Splitting Scheme for Nonlinear Black-Scholes Equation with Transaction Costs. The Scientific World Journal. 2014. Vol. 2014, no. 2014, pp.1-11.
https://search.emarefa.net/detail/BIM-1049970

نوع البيانات

مقالات

لغة النص

الإنجليزية

الملاحظات

Includes bibliographical references

رقم السجل

BIM-1049970