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Title
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Predictor-corrector balance method for the worst-case 1D option pricing
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Author
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Abstract
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| 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. |
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Language
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English
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Source (journal)
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Journal of computational methods in applied mathematics / Instytut matematyki (Natsyianal'naia akademiia navuk Belarusi) - [Minsk, Berlarus], 2001, currens
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Publication
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[Minsk, Berlarus]
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Institute of Mathematics of the National Academy of Sciences of Belarus
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2016
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ISSN
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1609-4840
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DOI
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10.1515/CMAM-2015-0029
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Volume/pages
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16
:1
(2016)
, p. 175-186
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ISI
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000370566900010
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Full text (Publisher's DOI)
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Full text (publisher's version - intranet only)
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