An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations (Q2004501)

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An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations
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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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