On the computation of option prices and sensitivities in the Black-Scholes-Merton model

DOI10.1088/1469-7688/2/2/307MaRDI QIDQ4646779zbMATH OpenOpenAlexFDO

Authors B. A. Shadwick, William F. Shadwick

Publication date 14 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/1469-7688/2/2/307

zbMATH Keywords

Black-Scholes-Merton modeldividend rateinterest rateoption pricingvolatility

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Pricing American options fitting the smile.

Cited in

(4)

• A pricing option approach based on backward stochastic differential equation theory
• Dynamic Greeks
• Sensitivity analysis of partial derivatives of an European option pricing model
• scientific article; zbMATH DE number 1897420 (Why is no real title available?)

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