A Gaussian radial basis function-finite difference technique to simulate the HCIR equation
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PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Numerical methods (including Monte Carlo methods) (91G60)
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Cited in
(4)- A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator
- On a high-order Gaussian radial basis function generated Hermite finite difference method and its application
- On an improved computational solution for the 3D HCIR PDE in finance
- An efficient algorithm to solve the geometric Asian power option price PDE under the stochastic volatility model
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