The trapezoidal rule with second-order backward difference formula (TR-BDF2) finite-difference scheme is applied to the Black-Scholes-Merton partial differential equation on a nonuniform grid. American...
Volume 17, Issue 3, 2014
We consider the Delta-hedging strategy for a vanilla option under discrete hedging and transaction costs. Assuming that the option is Delta-hedged using the Black-Scholes-Merton model with an implied lognormal...
More Black-scholes articles
It is well known that the quanto adjustment in the drift of the underlying has a significant impact on the prices of quanto options. Alexander Giese points out that an additional quanto adjustment...
An Arch economist
A foothold in reality
Quants' golden age
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.