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Title
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Finite difference approximation of hedging quantities in the Heston model
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Author
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Abstract
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| This note concerns the hedging quantities Delta and Gamma in the Heston model for European-style financial options. A modification of the discretization technique from In ' t Hout & Foulon (2010) is proposed, which enables a fast and accurate approximation of these important quantities. Numerical experiments are given that illustrate the performance. |
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Language
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English
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Source (journal)
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AIP conference proceedings / American Institute of Physics. - New York
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Source (book)
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International Conference of Numerical Analysis and Applied Mathematics, (ICNAAM), SEP 19-25, 2012, Kos, GREECE
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Publication
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Melville
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Amer inst physics
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2012
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ISBN
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978-0-7354-1091-6
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DOI
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10.1063/1.4756108
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Volume/pages
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1479
(2012)
, p. 242-245
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ISI
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000310698100058
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Full text (Publisher's DOI)
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Full text (open access)
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