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Computation of Delta Greek for Non-linear Models in Mathematical Finance

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Numerical Analysis and Its Applications (NAA 2016)

Part of the book series: Lecture Notes in Computer Science ((LNTCS,volume 10187))

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Abstract

We consider a class of non-linear models in mathematical finance. The focus is on numerical study of Delta equation, where the unknown solution is the first spatial derivative of the option value. We also discuss the convergence to the viscosity solution. Newton’s and Picard’s iteration methods for solving the non-linear system of algebraic equations are proposed. Illustrative numerical examples are presented.

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Acknowledgements

This research was supported by the European Union under Grant Agreement number 304617 (FP7 Marie Curie Action Project Multi-ITN STRIKE - Novel Methods in Computational Finance) and the Bulgarian National Fund of Science under Project I02/20-2014.

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Authors and Affiliations

  1. Faculty of Natural Science and Education, University of Ruse, 8 Studentska str., 7017, Rousse, Bulgaria

    Miglena N. Koleva & Lubin G. Vulkov

Authors
  1. Miglena N. Koleva
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  2. Lubin G. Vulkov
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Corresponding author

Correspondence to Miglena N. Koleva .

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Editors and Affiliations

  1. Institute of Information and Communication Technologies, Bulgarian Academy of Sciences, Sofia, Bulgaria

    Ivan Dimov

  2. Department of Applied Analysis, Eötvös Loránd University, Budapest, Hungary

    István Faragó

  3. Department of Applied Mathematics and Statistics, University of Rousse, Ruse, Bulgaria

    Lubin Vulkov

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Koleva, M.N., Vulkov, L.G. (2017). Computation of Delta Greek for Non-linear Models in Mathematical Finance. In: Dimov, I., Faragó, I., Vulkov, L. (eds) Numerical Analysis and Its Applications. NAA 2016. Lecture Notes in Computer Science(), vol 10187. Springer, Cham. https://doi.org/10.1007/978-3-319-57099-0_48

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  • DOI: https://doi.org/10.1007/978-3-319-57099-0_48

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-57098-3

  • Online ISBN: 978-3-319-57099-0

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