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• W2998637999 abstract "• Applying the moving least squares approximation for pricing multi-asset European under jump-diffusion models. • Developing the proposed method for pricing multi-asset option written on Lévy-driven assets with an operator splitting approach. • Computing hedge parameters of European and American options and early exercise boundary of American options with little extra cost via the proposed method. • Comparison the proposed method with finite difference method for validating our result. The moving least-squares (MLS) approximation is a powerful numerical scheme widely used in the meshfree literature to construct local multivariate polynomial basis functions for expanding the solution of a given differential or integral equation. For partial integro-differential equations arising from the valuation of multi-asset options written on correlated Lévy-driven assets, we propose here an MLS-based collocation scheme in conjunction with implicit-explicit (IMEX) temporal discretization to numerically solve the problem. We apply the method to price both European and American options and compute the option hedge parameters. In the case of American options, we use an operator splitting approach to solve the linear complementarity formulation of the problem. Our numerical experiments show the efficiency of the proposed scheme in comparison with some competing approaches, specially finite difference methods." @default.
• W2998637999 created "2020-01-10" @default.
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• W2998637999 date "2020-05-01" @default.
• W2998637999 modified "2023-09-24" @default.
• W2998637999 title "On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation" @default.
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• W2998637999 doi "https://doi.org/10.1016/j.cnsns.2019.105160" @default.
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