Journal Paper

A Collocation Method by Moving Least Squares Applicable to European Option Pricing

Journal of Interpolation and Approximation in Scientific Computing, Vol. 2016 No.1 (2016) 58-65

The subject matter of the present inquiry is the pricing of European options in the actual form of numbers. To assess the numerical prices of European options, a scheme independent of any kind of mesh but rather powered by moving least squares (MLS) estimation is made. In practical terms, first the discretion of time variable is implemented and then, an MLS-powered method is applied for spatial approximation. As, unlike other methods, these courses of action mentioned here dont rely on a mesh, one can firmly claim they are to be categorized under mesh-less methods. And, of course, at the end of the paper, various experiments are offered to prove how efficient and how powerful the introduced approach is.

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