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

DOI10.1016/j.cam.2017.11.002zbMath1432.91139OpenAlexW2770082257MaRDI QIDQ1636795

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

zbMATH Keywords

monotonicityconvergencefinite difference schemeRichardson extrapolationtwo-grid methoddelta Greek

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) 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) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (4)

Monotone methods in counterparty risk models with nonlinear Black-Scholes-type equations ⋮ Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation ⋮ Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations ⋮ Biological population management based on a Hamilton–Jacobi–Bellman equation with boundary blow up

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