Option pricing and Greeks via a moving least square meshfree method

DOI10.1080/14697688.2013.845686zbMath1402.91793OpenAlexW2009515641MaRDI QIDQ5247232

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

greeksAsian optionBlack-Scholes equationEuropean optionbarrier optionmeshfree methodELSFMLS

Mathematics Subject Classification ID

Least squares and related methods for stochastic control systems (93E24) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

A practical finite difference method for the three-dimensional Black-Scholes equation ⋮ A new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian option ⋮ A Fréchet derivative‐based novel approach to option pricing models in illiquid markets ⋮ On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation ⋮ Unnamed Item

Cites Work

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

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