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

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 E...

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Detalles Bibliográficos
Autores principales: Guo, Jianqiang, Wang, Wansheng
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Hindawi Publishing Corporation 2014
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4034440/
https://www.ncbi.nlm.nih.gov/pubmed/24895653
http://dx.doi.org/10.1155/2014/525207

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4034440/
https://www.ncbi.nlm.nih.gov/pubmed/24895653
http://dx.doi.org/10.1155/2014/525207

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