An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations (Q2004501)
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scientific article; zbMATH DE number 7256586
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| English | An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations |
scientific article; zbMATH DE number 7256586 |
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An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations (English)
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7 October 2020
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Black-Scholes model
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RBF-FD method
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American option
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grid generation
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high-dimensional PDE
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0.7948199510574341
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0.7917422652244568
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0.7863470911979675
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0.7836999893188477
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