Cover Image

A note on the numerical approximation of Greeks for American-style options

Fuente: arXiv

Saved in:

Bibliographic Details
Main Author:	Hout, Karel J. in 't
Format:	Preprint
Published:	2024
Subjects:	Numerical Analysis
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

An efficient numerical method for American options and their Greeks under the two-asset Kou jump-diffusion model
by: Hout, Karel J. in 't
Published: (2024)

Operator splitting schemes for the two-asset Merton jump-diffusion model
by: Boen, Lynn, et al.
Published: (2019)

Numerical valuation of European options under two-asset infinite-activity exponential Lévy models
by: Moda, Massimiliano, et al.
Published: (2025)

Numerical methods for solving PIDEs arising in swing option pricing under a two-factor mean-reverting model with jumps
by: Regragui, Mustapha, et al.
Published: (2025)

Theory and numerics of subspace approximation of eigenvalue problems
by: Cheung, Siu Wun, et al.
Published: (2024)

On the numerical approximation of hyperbolic mean curvature flows for surfaces
by: Deckelnick, Klaus, et al.
Published: (2024)

The Ginzburg-Landau equations: Vortex states and numerical multiscale approximations
by: Döding, Christian, et al.
Published: (2025)

Numerical approximation of a thermodynamically complete rate-type model for the elastic--perfectly plastic response
by: Gazca-Orozco, Pablo Alexei, et al.
Published: (2023)

A note on best n-term approximation for generalized Wiener classes
by: DeVore, Ronald, et al.
Published: (2024)

Efficient iterative linearised solvers for numerical approximations of stochastic Stefan problems
by: Khan, Muhammad Awais, et al.
Published: (2025)

Error estimates for numerical approximations of a nonlinear gradient flow model
by: Droniou, Jerome, et al.
Published: (2025)

Noncommutative Laplacian and numerical approximation of Laplace-Beltrami spectrum of compact Riemann surfaces
by: Tageddine, Damien, et al.
Published: (2025)

Variable-order fractional wave equation: Analysis, numerical approximation, and fast algorithm
by: Jia, Jinhong, et al.
Published: (2025)

On the approximation of the von Neumann equation in the semiclassical limit. Part II : numerical analysis
by: Filbet, Francis, et al.
Published: (2025)

A note on approximation in weighted Korobov spaces via multiple rank-1 lattices
by: Cai, Mou, et al.
Published: (2026)

MultiWave: A computational lab for adaptive numerical methods approximating hyperbolic balance laws
by: Kolb, Adrian, et al.
Published: (2026)

Non-local traffic flow models with time delay: well-posedness and numerical approximation
by: Ciaramaglia, Ilaria, et al.
Published: (2024)

On the approximation of the von Neumann equation in the semi-classical limit. Part I : numerical algorithm
by: Filbet, Francis, et al.
Published: (2024)

Generalizing subdiffusive Black-Scholes model by variable exponent: Model transformation and numerical approximation
by: Zhang, Meihui, et al.
Published: (2024)

Multilevel Picard approximations overcome the curse of dimensionality in the numerical approximation of general semilinear PDEs with gradient-dependent nonlinearities
by: Neufeld, Ariel, et al.
Published: (2023)

Property-preserving numerical approximation of a Cahn-Hilliard-Navier-Stokes model with variable density and degenerate mobility
by: Acosta-Soba, Daniel, et al.
Published: (2023)

Schwarz Modulus Based Matrix Splittings with Minimal Polynomial Extrapolation Acceleration for linear complementarity problems arising from American option pricing
by: Gande, Martin J., et al.
Published: (2026)

The law of iterated logarithm for numerical approximation of time-homogeneous Markov process
by: Chen, Chuchu, et al.
Published: (2025)

On feedback stabilisation for the Cahn-Hilliard equation and its numerical approximation
by: Egger, Herbert, et al.
Published: (2025)

A note on generalized tensor CUR approximation for tensor pairs and tensor triplets based on the tubal product
by: Ahmadi-Asl, Salman, et al.
Published: (2023)

Existence and numerical approximation of a one-dimensional Boussinesq system with variable coefficients on a finite interval
by: Grajales, Juan Carlos Muñoz, et al.
Published: (2025)

Lyapunov exponents of renewal equations: numerical approximation and convergence analysis
by: Breda, Dimitri, et al.
Published: (2024)

Efficient numerical approximations for a non-conservative Nonlinear Schrodinger equation appearing in wind-forced ocean waves
by: Athanassoulis, Agissilaos, et al.
Published: (2024)

GP-Recipe: Gaussian Process approximation to linear operations in numerical methods
by: DeGrendele, Christopher, et al.
Published: (2025)

Elliptic interface problem approximated by CutFEM: I. Conservative flux recovery and numerical validation of adaptive mesh refinement
by: Capatina, Daniela, et al.
Published: (2025)

The LC Method: A parallelizable numerical method for approximating the roots of single-variable polynomials
by: Alba-Cuellar, Daniel
Published: (2024)

Explicit numerical approximations for McKean-Vlasov stochastic differential equations in finite and infinite time
by: Cui, Yuanping, et al.
Published: (2024)

Chebyshev approximation and composition of functions in matrix product states for quantum-inspired numerical analysis
by: Rodríguez-Aldavero, Juan José, et al.
Published: (2024)

Rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of gradient-dependent semilinear heat equations
by: Neufeld, Ariel, et al.
Published: (2024)

Full moment error estimates in strong norms for numerical approximations of stochastic Navier-Stokes equations with multiplicative noise, Part I: time discretization
by: Feng, Xiaobing, et al.
Published: (2025)

Numerical simulation of endovascular treatment options for cerebral aneurysms
by: Frank, Martin, et al.
Published: (2024)

A note on superconvergence in projection-based numerical approximations of eigenvalue problems for Fredholm integral operators
by: Shukla, Shashank K.
Published: (2026)

A numerically stable communication-avoiding s-step GMRES algorithm
by: Xu, Zan, et al.
Published: (2023)

Wellposedness, exponential ergodicity and numerical approximation of fully super-linear McKean--Vlasov SDEs and associated particle systems
by: Chen, Xingyuan, et al.
Published: (2023)

Taylor-Fourier approximation
by: Calvo, M. P., et al.
Published: (2024)