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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.
Funding source: European Union, FP7-PEOPLE-2012-ITN Program
Award Identifier / Grant number: 304617
Funding source: Bulgarian Fund of Sciences
Award Identifier / Grant number: FNI I02/20-2014
Received: 2014-10-20
Revised: 2015-06-25
Accepted: 2015-09-11
Published Online: 2015-10-01
Published in Print: 2016-01-01
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