An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations
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Publication:2004501
DOI10.1016/J.CAMWA.2019.07.011zbMATH Open1443.91334OpenAlexW2962447877MaRDI QIDQ2004501FDOQ2004501
Authors: 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
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Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Numerical radial basis function approximation (65D12)
Cites Work
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- Scattered node compact finite difference-type formulas generated from radial basis functions
- Computing the action of the matrix exponential, with an application to exponential integrators
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- A local radial basis function method for advection-diffusion-reaction equations on complexly shaped domains
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- Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations
- Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach
- Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate
- A family of Chaplygin-type solvers for Itô stochastic differential equations
- Asset pricing for an affine jump-diffusion model using an FD method of lines on nonuniform meshes
Cited In (10)
- Generalized finite integration method with Laplace transform for European option pricing under Black-Scholes and Heston models
- Local radial basis function collocation method for Stokes equations with interface conditions
- An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options
- A local radial basis function-finite difference (RBF-FD) method for solving 1D and 2D coupled Schrödinger-Boussinesq (SBq) equations
- An efficient fourth-order numerical scheme for nonlinear multi-asset option pricing problems
- A local collocation method with radial basis functions for an electrospinning problem
- On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE
- 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
- On a sparse and stable solver on graded meshes for solving high-dimensional parabolic pricing PDEs
- An efficient hybrid numerical method for the two-asset Black-Scholes PDE
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