A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator
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Publication:1713627
Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Auctions, bargaining, bidding and selling, and other market models (91B26) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)
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- scientific article; zbMATH DE number 1253573 (Why is no real title available?)
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
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- Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
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Cited in
(6)- Study of a time-dependent PDE arising in absorption with chemical reaction using a numerical method
- New iterative methods for finding matrix sign function: derivation and application
- RBF-FD solution for a financial partial-integro differential equation utilizing the generalized multiquadric function
- On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE
- On an improved computational solution for the 3D HCIR PDE in finance
- Numerical investigation of high-dimensional option pricing PDEs by utilizing a hybrid radial basis function -- finite difference procedure
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