Accurate and efficient computations of the Greeks for options near expiry using the Black-Scholes equations

DOI10.1155/2016/1586786zbMath1422.91703OpenAlexW2335910562WikidataQ59123393 ScholiaQ59123393MaRDI QIDQ1723695

Darae Jeong, Minhyun Yoo, Junseok Kim

Publication date: 19 February 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2016/1586786

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Reconstruction of the time-dependent volatility function using the Black-Scholes model ⋮ A robust spline collocation method for pricing American put options

Uses Software

• Matlab

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Laplace transform and finite difference methods for the Black-Scholes equation
• Adaptive \(\theta \)-methods for pricing American options
• PDE methods for pricing barrier options
• Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations
• A comparison study of ADI and operator splitting methods on option pricing models
• Finite difference scheme with a moving mesh for pricing Asian options
• Positive numerical solution for a nonarbitrage liquidity model using nonstandard finite difference schemes
• AN ADAPTIVE FINITE DIFFERENCE METHOD USING FAR-FIELD BOUNDARY CONDITIONS FOR THE BLACK-SCHOLES EQUATION
• Some mathematical results in the pricing of American options
• A Fast Numerical Method for the Black--Scholes Equation of American Options
• ADI finite difference schemes for option pricing in the Heston model with correlation
• AN ACCURATE AND EFFICIENT NUMERICAL METHOD FOR BLACK-SCHOLES EQUATIONS

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