Option pricing and Greeks via a moving least square meshfree method

DOI10.1080/14697688.2013.845686zbMATH Open1402.91793OpenAlexW2009515641MaRDI QIDQ5247232FDOQ5247232

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

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)

Cites Work

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

Cited In (8)

• 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
• Title not available (Why is that?)
• 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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