Finite Difference Approximation of Hedging Quantities in the Heston model

被引：0
|
作者：
't Hout, Karel In [1 ]
机构：
[1] Univ Antwerp, Dept Math & Comp Sci, B-2020 Antwerp, Belgium
来源：
NUMERICAL ANALYSIS AND APPLIED MATHEMATICS (ICNAAM 2012), VOLS A AND B | 2012年 / 1479卷
关键词：
financial option pricing; hedging quantities; Heston model; finite difference methods;
D O I：
10.1063/1.4756108
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This note concerns the hedging quantities Delta and Gamma in the Heston model for European-style financial options. A modification of the discretization technique from In ' t Hout & Foulon (2010) is proposed, which enables a fast and accurate approximation of these important quantities. Numerical experiments are given that illustrate the performance.
引用
收藏
页码：242 / 245
页数：4
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