Fast computational approach to the delta Greek of non-linear Black-Scholes equations

DOI10.1016/J.CAM.2017.11.002zbMATH Open1432.91139OpenAlexW2770082257MaRDI QIDQ1636795FDOQ1636795

Lubin G. Vulkov, Miglena N. Koleva

Publication date: 12 June 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2017.11.002

Recommendations

• Computation of Delta Greek for Non-linear Models in Mathematical Finance
• Approach to the Delta Greek of nonlinear Black-Scholes equation governing European options
• Fitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation
• A unified numerical approach for a large class of nonlinear Black-Scholes models
• Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation

zbMATH Keywords

convergencemonotonicitytwo-grid methodfinite difference schemeRichardson extrapolationdelta Greek

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

Cites Work

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Cited In (7)

• Accurate and efficient computations of the Greeks for options near expiry using the Black-Scholes equations
• Computation of Delta Greek for Non-linear Models in Mathematical Finance
• Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation
• An optimal switching approach toward cost-effective control of a stand-alone photovoltaic panel system under stochastic environment
• Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations
• Monotone methods in counterparty risk models with nonlinear Black-Scholes-type equations
• Biological population management based on a Hamilton–Jacobi–Bellman equation with boundary blow up

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