A Positivity-Preserving Numerical Scheme for Nonlinear Option Pricing Models

Figure 2

Time evolution profiles of the Greeks of European put option with the computational parameters ℎ=0.1, 𝑘=0.0005, and 𝑎=0.02.

(a) Standard scheme for delta  

(b) New scheme for delta

(c) Standard scheme for gamma

(d) New scheme for gamma