Accurate and Efficient Computations of the Greeks for Options Near Expiry Using the Black-Scholes Equations
نویسندگان
چکیده
منابع مشابه
An Accurate and Efficient Numerical Method for Black-scholes Equations
We present an efficient and accurate finite-difference method for computing Black-Scholes partial differential equations with multiunderlying assets. We directly solve Black-Scholes equations without transformations of variables. We provide computational results showing the performance of the method for two underlying asset option pricing problems.
متن کاملthe use of appropriate madm model for ranking the vendors of mci equipments using fuzzy approach
abstract nowadays, the science of decision making has been paid to more attention due to the complexity of the problems of suppliers selection. as known, one of the efficient tools in economic and human resources development is the extension of communication networks in developing countries. so, the proper selection of suppliers of tc equipments is of concern very much. in this study, a ...
15 صفحه اولnano-rods zno as an efficient catalyst for the synthesis of chromene phosphonates, direct amidation and formylation of amines
چکیده ندارد.
on the relationship between using discourse markers and the quality of expository and argumentative academic writing of iranian english majors
the aim of the present study was to investigate the frequency and the type of discourse markers used in the argumentative and expository writings of iranian efl learners and the differences between these text features in the two essay genres. the study also aimed at examining the influence of the use of discourse markers on the participants’ writing quality. to this end the discourse markers us...
15 صفحه اولA Fast, Stable and Accurate Numerical Method for the Black–scholes Equation of American Options
In this work we improve the algorithm of Han and Wu (SIAM J. Numer. Anal. 41 (2003), 2081–2095) for American Options with respect to stability, accuracy and order of computational effort. We derive an exact discrete artificial boundary condition (ABC) for the Crank–Nicolson scheme for solving the Black–Scholes equation for the valuation of American options. To ensure stability and to avoid any ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Discrete Dynamics in Nature and Society
سال: 2016
ISSN: 1026-0226,1607-887X
DOI: 10.1155/2016/1586786