Publication
Title
Predictor-corrector balance method for the worst-case 1D option pricing
Author
Abstract
The paper presents a numerical approach for computation of the first spatial Greek, the Delta, of the option value, governed by the Black Scholes equation with uncertain volatility and dividend yield. This fully nonlinear degenerate parabolic problem is handled by a monotone finite volume spatial discretization and a second-order predictor-corrector time stepping. Ample numerical results illustrate the performance of the algorithm.
Language
English
Source (journal)
Journal of computational methods in applied mathematics / Instytut matematyki (Natsyianal'naia akademiia navuk Belarusi) - [Minsk, Berlarus], 2001, currens
Publication
[Minsk, Berlarus] : Institute of Mathematics of the National Academy of Sciences of Belarus, 2016
ISSN
1609-4840
Volume/pages
16:1(2016), p. 175-186
ISI
000370566900010
Full text (Publisher's DOI)
Full text (publisher's version - intranet only)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 05.04.2016
Last edited 22.07.2017
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