Abstract
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.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
