On the computation of option prices and sensitivities in the Black–Scholes–Merton model

DOI10.1088/1469-7688/2/2/307zbMath1405.91650OpenAlexW2057066217MaRDI QIDQ4646779

B. A. Shadwick, William F. Shadwick

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/2/2/307

zbMATH Keywords

option pricinginterest ratevolatilityBlack-Scholes-Merton modeldividend rate

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (1)

A pricing option approach based on backward stochastic differential equation theory

Cites Work

• Unnamed Item
• Pricing American Options Fitting the Smile

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