Journal of Applied Mathematics / 2012 / Article / Fig 5

Research Article

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 , , and .
205686.fig.005a
(a)   Standard scheme for delta
205686.fig.005b
(b) New scheme for delta
205686.fig.005c
(c) Standard scheme for gamma
205686.fig.005d
(d) New scheme for gamma