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Greeks computation in the option pricing problem by means of RBF-PU methods
Journal of Computational and Applied Mathematics ( IF 1.883 ) 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 with 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.
更新日期:2020-03-24

 

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