Sica, Federica (2021) Meshless Methods for Option Pricing and Risks Computation. [Tesi di dottorato]

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Item Type: Tesi di dottorato
Resource language: English
Title: Meshless Methods for Option Pricing and Risks Computation
Creators:
CreatorsEmail
Sica, Federicafederica.sica@unina.it
Date: 10 April 2021
Number of Pages: 86
Institution: Università degli Studi di Napoli Federico II
Department: Scienze Economiche e Statistiche
Dottorato: Economia
Ciclo di dottorato: 33
Coordinatore del Corso di dottorato:
nomeemail
Pagano, Marcopagano56@gmail.com
Tutor:
nomeemail
Di Lorenzo, EmiliaUNSPECIFIED
Date: 10 April 2021
Number of Pages: 86
Keywords: meshless, pricing, risks
Settori scientifico-disciplinari del MIUR: Area 13 - Scienze economiche e statistiche > SECS-S/06 - Metodi matematici dell'economia e delle scienze attuariali e finanziarie
Date Deposited: 19 May 2021 13:20
Last Modified: 07 Jun 2023 10:33
URI: http://www.fedoa.unina.it/id/eprint/13904

Collection description

In this thesis we price several financial derivatives by means of radial basis functions. Our main contribution consists in extending the usage of said numerical methods to the pricing of more complex derivatives - such as American and basket options with barriers - and in computing the associated risks. First, we derive the mathematical expressions for the prices and the Greeks of given options; next, we implement the corresponding numerical algorithm in MATLAB and calculate the results. We compare our results to the most common techniques applied in practice such as Finite Differences and Monte Carlo methods. We mostly use real data as input for our examples. We conclude radial basis functions offer a valid alternative to current pricing methods, especially because of the efficiency deriving from the free, direct calculation of risks during the pricing process. Eventually, we provide suggestions for future research by applying radial basis function for an implied volatility surface reconstruction.

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