An accurate and stable numerical method for option hedge parameters (Q2148048)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An accurate and stable numerical method for option hedge parameters |
scientific article |
Statements
An accurate and stable numerical method for option hedge parameters (English)
0 references
21 June 2022
0 references
option pricing
0 references
Black-Scholes partial differential equation
0 references
Feynman-Kac formula
0 references
finite difference method
0 references
unconditionally stable methods
0 references
numerical techniques
0 references
