An accurate and stable numerical method for option hedge parameters

DOI10.1016/j.amc.2022.127276OpenAlexW4281745543MaRDI QIDQ2148048

Sungchul Lee, Yejin Kim, Junhyun Cho

Publication date: 21 June 2022

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

Full work available at URL: https://doi.org/10.1016/j.amc.2022.127276

zbMATH Keywords

finite difference methodoption pricingFeynman-Kac formulanumerical techniquesBlack-Scholes partial differential equationunconditionally stable methods

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65Mxx) Partial differential equations of mathematical physics and other areas of application (35Qxx)

Related Items (2)

Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model ⋮ An operator splitting method for multi-asset options with the Feynman-Kac formula

Uses Software

• Numba

Cites Work

• The Pricing of Options and Corporate Liabilities
• A practical finite difference method for the three-dimensional Black-Scholes equation
• Pricing discretely-monitored double barrier options with small probabilities of execution
• Option valuation under no-arbitrage constraints with neural networks
• Deep hedging of long-term financial derivatives
• A fourth order numerical method based on B-spline functions for pricing Asian options
• A new integral equation approach for pricing American-style barrier options with rebates
• A high order method for pricing of financial derivatives using radial basis function generated finite differences
• Convergence of the mimetic finite difference and fitted mimetic finite difference method for options pricing
• A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option
• Interpolation Methods for Curve Construction

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