Modification terms to the Black–Scholes model in a realistic hedging strategy with discrete temporal steps

DOI10.1080/00207160.2018.1542135zbMath1499.91173OpenAlexW2899799206MaRDI QIDQ5031707

Choi-Hong Lai

Publication date: 16 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2018.1542135

zbMATH Keywords

finite difference methodsBlack-Scholes modeldiscrete hedging strategycorrection source termdiscrete analogy

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60) Finite difference methods for boundary value problems involving PDEs (65N06) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58)

Cites Work

• The Pricing of Options and Corporate Liabilities
• A distributed algorithm for European options with nonlinear volatility
• Numerical Methods for Evolutionary Differential Equations
• Newton-Based Solvers for Nonlinear PDEs in Finance
• Alternative Parallel Strategies for Linear and Nonlinear PDEs in Option Pricing
• The Mathematics of Financial Derivatives
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