A Positivity-Preserving Numerical Scheme for Nonlinear Option Pricing Models

Figure 5

Time evolution profiles of the Greeks of European butterfly spread with the computational parameters ℎ=0.1, 𝑘=0.000455, and 𝑎=0.02.

(a)   Standard scheme for delta

(b) New scheme for delta

(c) Standard scheme for gamma

(d) New scheme for gamma