Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method

DOI10.1007/S40010-015-0207-3MaRDI QIDQ890161zbMATH OpenOpenAlexFDO

Authors Jamal Amani Rad, Kourosh Parand, Saeid Abbasbandy

Publication date 9 November 2015

Published in Proceedings of the National Academy of Sciences, India. Section A. Physical Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s40010-015-0207-3

zbMATH Keywords

option pricingAmerican optionBlack-Scholesmoving least squaresEuropean optionmeshless weak form

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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Cites work

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• Compact finite difference method for American option pricing
• Convergence error estimate in solving free boundary diffusion problem by radial basis functions method.
• Extrapolation of difference methods in option valuation
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• The pricing of options and corporate liabilities
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Cited in

(20)

• Pricing American options under jump-diffusion models using local weak form meshless techniques
• Finite difference methods for pricing American put option with rationality parameter: numerical analysis and computing
• A wavelet‐based novel approximation to investigate the sensitivities of various path‐independent binary options
• Chebyshev wavelet method for solving radiative transfer equation in a slab medium
• Two‐dimensional Haar wavelet based approximation technique to study the sensitivities of the price of an option
• New numerical solutions for solving Kidder equation by using the rational Jacobi functions
• On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
• Using a meshless kernel-based method to solve the Black-Scholes variational inequality of American options
• Optimal uniform error estimates for moving <scp>least‐squares</scp> collocation with application to option pricing under jump‐diffusion processes
• An integration preconditioning method for solving option pricing problems
• A computationally hybrid method for solving a famous physical problem on an unbounded domain
• Solving partial differential equations by LS-SVM
• Option pricing and Greeks via a moving least square meshfree method
• Meshless collocation method for option pricing by variance gamma model
• Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
• An efficient numerical method for solving nonlinear Thomas-Fermi equation
• Accurate solution of the Thomas-Fermi equation using the fractional order of rational Chebyshev functions
• Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
• Pricing European and American options by radial basis point interpolation
• The method of fundamental solutions for solving options pricing models

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