RBF methods in a stochastic volatility framework for Greeks computation

DOI10.1016/J.CAM.2020.112987MaRDI QIDQ2186934zbMATH OpenOpenAlexFDO

Authors Salvatore Cuomo, Francesco Piccialli, Federica Sica

Publication date 10 June 2020

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2020.112987

zbMATH Keywords

Heston modelGreeks computationradial basis functions methods

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

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Cites work

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• A note on the numerical resolution of Heston PDEs
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• Alternating direction methods for three space variables
• An experimental study of univariate global optimization algorithms for finding the shape parameter in radial basis functions
• Deep learning for finance: deep portfolios
• Generalized autoregressive conditional heteroscedasticity
• Greeks computation in the option pricing problem by means of RBF-PU methods
• Meshfree approximation methods with Matlab. With CD-ROM.
• Multiquadrics -- a scattered data approximation scheme with applications to computational fluid-dynamics. II: Solutions to parabolic, hyperbolic and elliptic partial differential equations
• Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
• Radial basis function partition of unity methods for pricing vanilla basket options
• Radial point interpolation collocation method (RPICM) for partial differential equations
• Stable mixture GARCH models
• Stochastic Volatility for Lévy Processes
• THE PARTITION OF UNITY METHOD
• The pricing of options and corporate liabilities

Cited in

(3)

• Greeks computation in the option pricing problem by means of RBF-PU methods
• Reconstruction of volatility surfaces: a first computational study
• Pricing external barrier options under a stochastic volatility model

Describes a project that uses

Uses Software

• Matlab

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