Greeks computation in the option pricing problem by means of RBF-PU methods

DOI10.1016/j.cam.2020.112882zbMath1437.91453OpenAlexW3013792717MaRDI QIDQ1987467

Federica Sica, Salvatore Cuomo, Gerardo Toraldo

Publication date: 15 April 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.2020.112882

zbMATH Keywords

option pricingpartition of unitygreeks computationradial basis functions methods in finance

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical radial basis function approximation (65D12)

Related Items (5)

RBF methods in a stochastic volatility framework for Greeks computation ⋮ Energy-stable global radial basis function methods on summation-by-parts form ⋮ A Fréchet derivative‐based novel approach to option pricing models in illiquid markets ⋮ Foreword to the virtual special issue dedicated to the 3rd international conference NUMTA 2019 ``Numerical computations: theory and algorithms ⋮ Pricing external barrier options under a stochastic volatility model

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