Approach to the Delta Greek of nonlinear Black-Scholes equation governing European options

DOI10.1016/j.cam.2021.113790zbMath1471.91614OpenAlexW3197284975MaRDI QIDQ2237909

Teófilo D. Chihaluca, José C. M. Duque, Rui M. P. Almeida

Publication date: 28 October 2021

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.2021.113790

zbMATH Keywords

convergencefinite element methodLagrange polynomialsCrank-NicolsonDelta equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Degenerate parabolic equations (35K65) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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