Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach
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Cites work
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Cited in
(27)- A comparative analysis of local meshless formulation for multi-asset option models
- Pricing multi-asset option problems: a Chebyshev pseudo-spectral method
- A new method for evaluating options based on multiquadric RBF-FD method
- An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations
- Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method
- Some nonlinear fractional PDEs involving \(\beta \)-derivative by using rational \(\exp\left( - \operatorname{\Omega} \left( \eta\right)\right)\)-expansion method
- Local radial basis function collocation method for Stokes equations with interface conditions
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- A radial basis function-Hermite finite difference (RBF-HFD) method for the cubic-quintic complex Ginzburg-Landau equation
- A mixed derivative terms removing method in multi-asset option pricing problems
- A numerical study of RBFs-DQ method for multi-asset option pricing problems
- A local radial basis function method for high-dimensional American option pricing problems
- A computationally efficient numerical approach for multi-asset option pricing
- Efficient and accurate finite difference method for the four underlying asset ELS
- A novel local meshless scheme based on the radial basis function for pricing multi-asset options
- An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options
- Computational algorithm for financial mathematical model based on European option
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- On five-point equidistant stencils based on Gaussian function with application in numerical multi-dimensional option pricing
- A local radial basis function-compact finite difference method for Sobolev equation arising from fluid dynamics
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