Journal of Computational and Applied Mathematics ( IF 2.1 ) Pub Date : 2020-03-23 , DOI: 10.1016/j.cam.2020.112882 Salvatore Cuomo , Federica Sica , Gerardo Toraldo
In this article we focus on option Greeks computation by means of Radial Basis Functions (RBF) with Partition of Unity methods. We start by presenting RBF applications to the financial world: we price single-underlying European and American barrier options and an American basket option on two correlated underlyings. Furthermore, we derive the expression for Greeks calculation via RBF and we compare the results of the corresponding solution with the finite difference method. We conclude RBFs are an accurate and precise alternative method to price contingent claims, offering an appealing solution to evaluate Greeks with better results than Finite Difference methods.
中文翻译:
希腊人通过RBF-PU方法计算期权定价问题
在本文中,我们重点介绍通过径向基函数(RBF)与Unity分区方法进行的选项希腊语计算。首先,我们向金融界介绍RBF应用程序:我们对两个相关基础的欧洲和美国单一基础障碍期权和美国一揽子期权定价。此外,我们通过RBF导出了用于希腊人计算的表达式,并将相应解的结果与有限差分法进行了比较。我们得出结论,RBF是对或有债权定价的一种准确而精确的替代方法,它提供了一种有吸引力的解决方案,可以比有限差分法更好地评估希腊人。