Accurate and Efficient Computations of the Greeks for Options Near Expiry Using the Black-Scholes Equations
Joint Authors
Jeong, Darae
Kim, Junseok
Yoo, Minhyun
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2016, Issue 2016 (31 Dec. 2016), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2016-04-04
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Jeong, Darae& Yoo, Minhyun& Kim, Junseok. 2016. Accurate and Efficient Computations of the Greeks for Options Near Expiry Using the Black-Scholes Equations. Discrete Dynamics in Nature and Society،Vol. 2016, no. 2016, pp.1-12.
https://search.emarefa.net/detail/BIM-1103334
Modern Language Association (MLA)
Jeong, Darae…[et al.]. Accurate and Efficient Computations of the Greeks for Options Near Expiry Using the Black-Scholes Equations. Discrete Dynamics in Nature and Society No. 2016 (2016), pp.1-12.
https://search.emarefa.net/detail/BIM-1103334
American Medical Association (AMA)
Jeong, Darae& Yoo, Minhyun& Kim, Junseok. Accurate and Efficient Computations of the Greeks for Options Near Expiry Using the Black-Scholes Equations. Discrete Dynamics in Nature and Society. 2016. Vol. 2016, no. 2016, pp.1-12.
https://search.emarefa.net/detail/BIM-1103334
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1103334