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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국산업응용수학회 JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS Journal of the Korean Society for Industrial and Applied Mathematics Vol.18 No.1
- 발행연도
- 2014.3
- 수록면
- 61 - 74 (14page)
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This paper presents accurate and efficient numerical methods for calculating the sensitivities of two-asset European options, the Greeks. The Greeks are important financial instruments in management of economic value at risk due to changing market conditions. The option pricing model is based on the Black-Scholes partial differential equation. The model is discretized by using a finite difference method and resulting discrete equations are solved by means of an operator splitting method. For Delta, Gamma, and Theta, we investigate the effect of high-order discretizations. For Rho and Vega, we develop an accurate and robust automatic algorithm for finding an optimal value. A cash-or-nothing option is taken to demonstrate the performance of the proposed algorithm for calculating the Greeks. The results show that the new treatment gives automatic and robust calculations for the Greeks.
목차
ABSTRACT
1. INTRODUCTION
2. THE BLACK-SCHOLES MODEL AND ITS NUMERICAL SOLUTION
3. NUMERICAL EXPERIMENTS
4. CONCLUSION
5. APPENDIX
REFERENCES
참고문헌 (12)
참고문헌 신청
1. [학술지(정기간행물)] - M. Chesney / 1993 / Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying / Math. Financ 313 : 85 ~ 99
2. [학술지(정기간행물)] - A.J. McNeil / 2000 / Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach / J. Empirical Financ 7 (13) : 271 ~ 300
3. [학술지(정기간행물)] - J. Huang / 1996 / Pricing and hedging American options: a recursive investigation method / Rev. Financ. Stud 9 (13) : 277 ~ 300
4. [단행본] - P. Wilmott / 2000 / Paul Wilmott on quantitative finance / Wiley
5. [학술지(정기간행물)] - Y. El-Khatib / 2004 / Computations of Greeks in a market with jumps via the Mulliavin calculus / Financ. Stoch 8 (13) : 161 ~ 179
2. [학술지(정기간행물)] - A.J. McNeil / 2000 / Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach / J. Empirical Financ 7 (13) : 271 ~ 300
3. [학술지(정기간행물)] - J. Huang / 1996 / Pricing and hedging American options: a recursive investigation method / Rev. Financ. Stud 9 (13) : 277 ~ 300
4. [단행본] - P. Wilmott / 2000 / Paul Wilmott on quantitative finance / Wiley
5. [학술지(정기간행물)] - Y. El-Khatib / 2004 / Computations of Greeks in a market with jumps via the Mulliavin calculus / Financ. Stoch 8 (13) : 161 ~ 179
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