Fast computational approach to the delta Greek of non-linear Black-Scholes equations (Q1636795)
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scientific article; zbMATH DE number 6885700
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| English | Fast computational approach to the delta Greek of non-linear Black-Scholes equations |
scientific article; zbMATH DE number 6885700 |
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Fast computational approach to the delta Greek of non-linear Black-Scholes equations (English)
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12 June 2018
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delta Greek
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finite difference scheme
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monotonicity
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convergence
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two-grid method
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Richardson extrapolation
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0.877839207649231
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0.8374935388565063
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0.7874935269355774
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0.7864642143249512
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