Option pricing and Greeks via a moving least square meshfree method

We apply a meshfree method using the fast moving least squares approximation to option pricing, particularly for the purpose of obtaining high-order Greeks. The method is shown to be accurate and efficient in obtaining prices and Greeks of European, Asian and Barrier options. We also include a complicated Equity Linked Security (ELS) from the Korean OTC market, as a real-world example.

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Year of publication:	2014
Authors:	Kim, Yongsik ; Bae, Hyeong-Ohk ; Koo, Hyeng Keun
Published in:	Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 14.2014, 10, p. 1753-1764
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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