Computation of Delta Greek for Non-linear Models in Mathematical Finance

DOI10.1007/978-3-319-57099-0_48zbMath1367.91195OpenAlexW2607406241MaRDI QIDQ5274981

Miglena N. Koleva, Lubin G. Vulkov

Publication date: 7 July 2017

Published in: Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-57099-0_48

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical computation of solutions to systems of equations (65H10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Fast computational approach to the delta Greek of non-linear Black-Scholes equations ⋮ Approach to the Delta Greek of nonlinear Black-Scholes equation governing European options

Cites Work

• Unnamed Item
• Predictor-corrector balance method for the worst-case 1D option pricing
• On the numerical solution of nonlinear Black-Scholes equations
• Numerical solution of linear and nonlinear Black-Scholes option pricing equations
• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• High order difference schemes for unsteady one-dimensional diffusion- convection problems
• Analysis of the nonlinear option pricing model under variable transaction costs
• An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
• Fitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation
• Positivity Preserving Numerical Method for Non-linear Black-Scholes Models
• Numerical Methods for Nonlinear PDEs in Finance
• A novel fitted finite volume method for the Black-Scholes equation governing option pricing
• On splitting-based numerical methods for nonlinear models of European options

This page was built for publication: Computation of Delta Greek for Non-linear Models in Mathematical Finance