Option pricing and Greeks via a moving least square meshfree method
Hyeong-Ohk Bae and
Hyeng Keun Koo
Quantitative Finance, 2014, vol. 14, issue 10, 1753-1764
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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