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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
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Handle: RePEc:taf:quantf:v:14:y:2014:i:10:p:1753-1764