A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator
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Publication:1713627
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Auctions, bargaining, bidding and selling, and other market models (91B26) Numerical methods (including Monte Carlo methods) (91G60)
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Cited in
(8)- Study of a time-dependent PDE arising in absorption with chemical reaction using a numerical method
- RBF-FD solution for a financial partial-integro differential equation utilizing the generalized multiquadric function
- New iterative methods for finding matrix sign function: derivation and application
- On an improved computational solution for the 3D HCIR PDE in finance
- On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE
- Numerical investigation of high-dimensional option pricing PDEs by utilizing a hybrid radial basis function -- finite difference procedure
- Numerical study of the RBF-FD parallel-in-time contour integration method for convection-diffusion equations
- Globally convergent iterative scheme for computing matrix sign function with numerical stability
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