Journal of Applied Mathematics / 2012 / Article / Fig 2

Research Article

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 , , and .
205686.fig.002a
(a) Standard scheme for delta  
205686.fig.002b
(b) New scheme for delta
205686.fig.002c
(c) Standard scheme for gamma
205686.fig.002d
(d) New scheme for gamma