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

DOI10.1007/s40010-015-0207-3zbMath1325.91061MaRDI QIDQ890161

Kourosh Parand, Jamal Amani Rad, 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 pricing; moving least squares; American option; Black-Scholes; European option; meshless weak form

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

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

65M60: Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs

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