A Positivity-Preserving Numerical Scheme for Nonlinear Option Pricing Models

Figure 6

Influence of the transaction costs (parameter 𝑎) on the value of European butterfly spread with the computational parameters ℎ=0.1 and 𝑘=0.000455.

(a)   Linear and nonlinear cases

(b) Nonlinear-linear (𝑎=0.02)