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