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...
This webinar on September 17th looks at the challenges of GRC, key trends, motives for improvement, future investments, and obstacles that banks and other financial institutions face in trying to improve and integrate their risk management strategy
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.