Fast computational approach to the delta Greek of non-linear Black-Scholes equations
type: Item
instance of: scholarly article
title: Fast computational approach to the delta Greek of non-linear Black-Scholes equations
zbMATH Open document ID: 1432.91139
author: Miglena N. Koleva
author: Lubin G. Vulkov
published in: Journal of Computational and Applied Mathematics
publication date: 2018-06-12T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 65M12
Mathematics Subject Classification ID: 35Q91
zbMATH DE Number: 6885700
zbMATH Keywords: delta Greek
zbMATH Keywords: finite difference scheme
zbMATH Keywords: monotonicity
zbMATH Keywords: convergence
zbMATH Keywords: two-grid method
zbMATH Keywords: Richardson extrapolation
MaRDI profile type: Publication
full work available at URL: j.cam.2017.11.002
OpenAlex ID: W2770082257
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DOI: 10.1016/J.CAM.2017.11.002
description: scientific article; zbMATH DE number 6885700