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

页码：242 / 245

页数：4

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