EconPapers    
Economics at your fingertips  
 

Option pricing and Greeks via a moving least square meshfree method

Yongsik Kim, Hyeong-Ohk Bae and Hyeng Keun Koo

Quantitative Finance, 2014, vol. 14, issue 10, 1753-1764

Abstract: 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.

Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/14697688.2013.845686 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:14:y:2014:i:10:p:1753-1764

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RQUF20

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2018-08-11
Handle: RePEc:taf:quantf:v:14:y:2014:i:10:p:1753-1764