A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator
DOI10.1007/S10092-018-0294-ZzbMATH Open1405.91699OpenAlexW2900719547WikidataQ115606200 ScholiaQ115606200MaRDI QIDQ1713627FDOQ1713627
Authors: Fazlollah Soleymani, Malik Zaka Ullah 
Publication date: 25 January 2019
Published in: Calcolo (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10092-018-0294-z
Recommendations
- A Gaussian radial basis function-finite difference technique to simulate the HCIR equation
- An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options
- A note on the numerical resolution of Heston PDEs
- Pricing the financial Heston-Hull-White model with arbitrary correlation factors via an adaptive FDM
- A numerical study of RBFs-DQ method for multi-asset option pricing problems
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)
Cites Work
- Functions of Matrices
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- ADI finite difference schemes for option pricing in the Heston model with correlation
- A fully discrete difference scheme for a diffusion-wave system
- Title not available (Why is that?)
- Meshfree approximation methods with Matlab. With CD-ROM.
- Theoretical Numerical Analysis
- Title not available (Why is that?)
- An Introduction to Programming with Mathematica®
- On the Heston model with stochastic interest rates
- Title not available (Why is that?)
- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- On cross-currency models with stochastic volatility and correlated interest rates
- Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
- Interest rate models -- theory and practice. With smile, inflation and credit
- Computing the action of the matrix exponential, with an application to exponential integrators
- On using radial basis functions in a ``finite difference mode with applications to elasticity problems
- Mathematical models of financial derivatives
- Comparative performance of exponential, implicit, and explicit integrators for stiff systems of ODEs
- The Mathematica GuideBook for Numerics
- An alternative procedure for selecting a good value for the parameter \(c\) in RBF-interpolation
- Implicit-explicit numerical schemes for jump-diffusion processes
- A fast stationary iterative method for a partial integro-differential equation in pricing options
- RBF-FD formulas and convergence properties
- Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation
- An investigation of radial basis function-finite difference (RBF-FD) method for numerical solution of elliptic partial differential equations
- On the stability of some algorithms for computing the action of the matrix exponential
- Title not available (Why is that?)
- New efficient substepping methods for exponential timestepping
- A new method for evaluating options based on multiquadric RBF-FD method
- Radial basis function generated finite differences for option pricing problems
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
Uses Software
This page was built for publication: A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1713627)
