## A nonstandard finite difference scheme for a nonlinear Black-Scholes equation

- Abraham J. Arenas, Gilberto C. González-Parra, Blas Melendez Caraballo
- Mathematical and Computer Modelling
- 2013

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Nonlinear Black-Scholes equations arise from considering parameters such as feedback and illiquid markets effects or large investor preferences, volatile portfolio and nontrivial transaction costs into option pricing models to have more accurate option price. Here some finite difference schemes have been investigated to solve numerically such nonlinear… (More)

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