Option pricing and Greeks via a moving least square meshfree method

DOI10.1080/14697688.2013.845686zbMath1402.91793MaRDI QIDQ5247232

Hyeng Keun Koo, Hyeong-Ohk Bae, Yongsik Kim

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

greeks; Asian option; Black-Scholes equation; European option; barrier option; meshfree method; ELS; FMLS

Mathematics Subject Classification ID

93E24: Least squares and related methods for stochastic control systems

91G20: Derivative securities (option pricing, hedging, etc.)

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