Application of Finite Difference Method in Computing of Risk Sensitivity Parameters for European Option (Case Study of Tehran Stock Exchange)

The purpose of this study is to calculate the risk sensitivity parameters (Greeks) for the European Option by using finite difference method. There are several ways to quantify these risks, each with its own advantages and disadvantages. The most important of these methods are: 1- Analytical method (solving Black Scholes partial differential equation) 2- Monte Carlo simulation method 3- Network methods 4- Finite difference method, Calculating the risk sensitivity parameters in finite difference method The complexity is less complex and the computation time is relatively low, and as the sample increases and the oscillation increases, the parameters are not disturbed. In this study, while introducing finite difference method, 10 top stock companies were selected in 1397 and the value of European trading authority and its risk sensitivity parameters were calculated by MATLAB software. Finally, numerical methods show that the results of finite difference method for calculating Option value and risk sensitivity parameters are approximations of these variables obtained from analytical method (exact method).