Accurate and Efficient Computations of the Greeks for Options Near Expiry Using the Black-Scholes Equations
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Jeong, Darae | - |
dc.contributor.author | Yoo, Minhyun | - |
dc.contributor.author | Kim, Junseok | - |
dc.date.accessioned | 2021-12-24T00:40:28Z | - |
dc.date.available | 2021-12-24T00:40:28Z | - |
dc.date.created | 2021-08-30 | - |
dc.date.issued | 2016 | - |
dc.identifier.issn | 1026-0226 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/132705 | - |
dc.description.abstract | We investigate the accurate computations for the Greeks using the numerical solutions of the Black-Scholes partial differential equation. In particular, we study the behaviors of the Greeks close to the maturity time and in the neighborhood around the strike price. The Black-Scholes equation is discretized using a nonuniform finite difference method. We propose a new adaptive time-stepping algorithm based on local truncation error. As a test problem for our numerical method, we consider a European cash-or-nothing call option. To show the effect of the adaptive stepping strategy, we calculate option price and its Greeks with various tolerances. Several numerical results confirm that the proposed method is fast, accurate, and practical in computing option price and the Greeks. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | HINDAWI LTD | - |
dc.title | Accurate and Efficient Computations of the Greeks for Options Near Expiry Using the Black-Scholes Equations | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Junseok | - |
dc.identifier.doi | 10.1155/2016/1586786 | - |
dc.identifier.scopusid | 2-s2.0-84965160657 | - |
dc.identifier.wosid | 000374384700001 | - |
dc.identifier.bibliographicCitation | DISCRETE DYNAMICS IN NATURE AND SOCIETY, v.2016 | - |
dc.relation.isPartOf | DISCRETE DYNAMICS IN NATURE AND SOCIETY | - |
dc.citation.title | DISCRETE DYNAMICS IN NATURE AND SOCIETY | - |
dc.citation.volume | 2016 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalResearchArea | Science & Technology - Other Topics | - |
dc.relation.journalWebOfScienceCategory | Mathematics, Interdisciplinary Applications | - |
dc.relation.journalWebOfScienceCategory | Multidisciplinary Sciences | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
(02841) 서울특별시 성북구 안암로 14502-3290-1114
COPYRIGHT © 2021 Korea University. All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.