A Positivity-Preserving Numerical Scheme for Nonlinear Option Pricing Models

Figure 3

Influence of the transaction costs (parameter 𝑎) on the value of European put option with the computational parameters ℎ=0.1 and 𝑘=0.0005.

(a) Linear and nonlinear cases  

(b) Nonlinear-linear (𝑎=0.02)