Option pricing and Greeks via a moving least square meshfree method

DOI10.1080/14697688.2013.845686MaRDI QIDQ5247232zbMATH OpenOpenAlexFDO

Authors Yongsik Kim, Hyeong-Ohk Bae, Hyeng Keun Koo

Publication date 23 April 2015

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2013.845686

zbMATH Keywords

greeksEuropean optionbarrier optionBlack-Scholes equationmeshfree methodAsian optionELSFMLS

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Least squares and related methods for stochastic control systems (93E24)

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• Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method
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• Greeks computation in the option pricing problem by means of RBF-PU methods
• The method of fundamental solutions for solving options pricing models

Cites work

• A continuity correction for discrete barrier options
• A new implementation of the element free Galerkin method
• Meshfree point collocation method for the stream-vorticity formulation of 2D incompressible Navier-Stokes equations
• Meshless method for the stationary imcompressible Navier-Stokes equations
• Numerical valuation of discrete double barrier options
• On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
• PDE methods for pricing barrier options
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Point collocation methods using the fast moving least-square reproducing kernel approximation
• Pricing Options With Curved Boundaries¹
• Pricing double barrier options using Laplace transforms
• Reproducing kernel particle methods
• The value of an Asian option
• Unsymmetric and symmetric meshless schemes for the unsteady convection-diffusion equation
• Valuing Asian options using the finite element method and duality techniques

Cited in

(9)

• Efficient and accurate finite difference method for the four underlying asset ELS
• Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction
• A practical finite difference method for the three-dimensional Black-Scholes equation
• A Fréchet derivative‐based novel approach to option pricing models in illiquid markets
• A new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian option
• Optimal uniform error estimates for moving <scp>least‐squares</scp> collocation with application to option pricing under jump‐diffusion processes
• Finite difference scheme with a moving mesh for pricing Asian options
• Generalized finite integration method with Volterra operator for pricing multi-asset barrier option
• On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation

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