Title
Predictor-corrector balance method for the worst-case 1D option pricing Predictor-corrector balance method for the worst-case 1D option pricing
Author
Faculty/Department
Faculty of Sciences. Mathematics and Computer Science
Publication type
article
Publication
[Minsk, Berlarus] :Institute of Mathematics of the National Academy of Sciences of Belarus ,
Subject
Mathematics
Source (journal)
Journal of computational methods in applied mathematics / Instytut matematyki (Natsyianal'naia akademiia navuk Belarusi) - [Minsk, Berlarus], 2001, currens
Volume/pages
16(2016) :1 , p. 175-186
ISSN
1609-4840
ISI
000370566900010
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
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.
E-info
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https://repository.uantwerpen.be/docman/iruaauth/9ae9a5/132324.pdf
Handle