An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations
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Publication:2004501
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Numerical radial basis function approximation (65D12) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
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Cited in
(13)- A local radial basis function-finite difference (RBF-FD) method for solving 1D and 2D coupled Schrödinger-Boussinesq (SBq) equations
- A local collocation method with radial basis functions for an electrospinning problem
- Local radial basis function collocation method for Stokes equations with interface conditions
- A strong-form local meshless approach based on radial basis function-finite difference (RBF-FD) method for solving multi-dimensional coupled damped Schrödinger system appearing in Bose-Einstein condensates
- An efficient hybrid numerical method for the two-asset Black-Scholes PDE
- An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options
- On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE
- On a sparse and stable solver on graded meshes for solving high-dimensional parabolic pricing PDEs
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- A stable numerical investigation based on geometric greedy points for 2D time-fractional partial integro-differential equations with singular kernels
- Adaptive isogeometric analysis with truncated hierarchical B-splines for nonlinear option pricing problems
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