An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations (Q2004501)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations |
scientific article |
Statements
An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations (English)
0 references
7 October 2020
0 references
Black-Scholes model
0 references
RBF-FD method
0 references
American option
0 references
grid generation
0 references
high-dimensional PDE
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references