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

DOI10.1007/978-3-319-57099-0_48MaRDI QIDQ5274981zbMATH OpenOpenAlexFDO

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

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Cites work

• A novel fitted finite volume method for the Black-Scholes equation governing option pricing
• An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
• Analysis of the nonlinear option pricing model under variable transaction costs
• Fitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation
• High order difference schemes for unsteady one-dimensional diffusion- convection problems
• scientific article; zbMATH DE number 1069620 (Why is no real title available?)
• Numerical methods for nonlinear PDEs in finance
• Numerical solution of linear and nonlinear Black-Scholes option pricing equations
• On splitting-based numerical methods for nonlinear models of European options
• On the numerical solution of nonlinear Black-Scholes equations
• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• Positivity Preserving Numerical Method for Non-linear Black-Scholes Models
• Predictor-corrector balance method for the worst-case 1D option pricing

Cited in

(3)

• 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
• Computation of Greeks using Malliavin's calculus in jump type market models

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