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

DOI10.1016/j.camwa.2019.07.011zbMath1443.91334MaRDI QIDQ2004501

Malik Zaka Ullah

Publication date: 7 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2019.07.011

zbMATH Keywords

grid generation; Black-Scholes model; American option; RBF-FD method; high-dimensional PDE

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

65D12: Numerical radial basis function approximation

Uses Software

• Matlab
• BENCHOP