A  Positivity-Preserving Numerical Scheme for Nonlinear Option Pricing Models

<div class="floats-full-page floats-full-page-figure"><h2>Figure 6</h2><div class="floats-full-page-caption"><table>Influence of the transaction costs (parameter <svg height="7.9499998" id="M222" style="vertical-align:-0.1638pt" version="1.1" viewbox="0 0 8.7250004 7.9499998" width="8.7250004" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
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</svg>) on the value of European butterfly spread with the computational parameters <svg height="12.4375" id="M223" style="vertical-align:-0.1638pt" version="1.1" viewbox="0 0 48.512501 12.4375" width="48.512501" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
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</svg> and <svg height="12.4375" id="M224" style="vertical-align:-0.1638pt" version="1.1" viewbox="0 0 89.087502 12.4375" width="89.087502" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
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</svg>.</table></div><div class="floats-full-page-content"><table class="table-group" width="800px"><tr class="fig-image" id="a"><td><img alt="205686.fig.006a" src="https://static-01.hindawi.com/articles/jam/volume-2012/205686/figures/205686.fig.006a.jpg" /></td></tr><tr class="fig-caption"><td align="center"><table><tr><td><b>(a) </b>  Linear and nonlinear cases</td></tr></table></td></tr><tr class="fig-image" id="b"><td><img alt="205686.fig.006b" src="https://static-01.hindawi.com/articles/jam/volume-2012/205686/figures/205686.fig.006b.jpg" /></td></tr><tr class="fig-caption"><td align="center"><table><tr><td><b>(b) </b>Nonlinear-linear (<svg height="11.125" id="M225" style="vertical-align:-0.1638pt" version="1.1" viewbox="0 0 56.5 11.125" width="56.5" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
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</svg>)</td></tr></table></td></tr></table></div></div>

Figure 6 | A  Positivity-Preserving Numerical Scheme for Nonlinear Option Pricing Models

title

Figure 6: A  Positivity-Preserving Numerical Scheme for Nonlinear Option Pricing Models

description

Figure 6

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