Publication
Title
Finite difference approximation of hedging quantities in the Heston model
Author
Abstract
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.
Language
English
Source (journal)
AIP conference proceedings / American Institute of Physics. - New York
Source (book)
International Conference of Numerical Analysis and Applied Mathematics, (ICNAAM), SEP 19-25, 2012, Kos, GREECE
Publication
Melville : Amer inst physics, 2012
ISBN
978-0-7354-1091-6
Volume/pages
1479(2012), p. 242-245
ISI
000310698100058
Full text (Publisher's DOI)
Full text (open access)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 04.02.2013
Last edited 06.11.2017
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