Meshless collocation method by delta-shaped basis functions for default barrier model

DOI10.1016/J.ENGANABOUND.2009.01.011zbMATH Open1244.65154OpenAlexW2003076497MaRDI QIDQ443555FDOQ443555

Authors: Zonghang Yang, Y. C. Hon 

Publication date: 7 August 2012

Published in: Engineering Analysis with Boundary Elements (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.enganabound.2009.01.011

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zbMATH Keywords

default barrier modeldelta-shaped basis functionDirac-delta functionHermite-based meshless collocation method

Mathematics Subject Classification ID

Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99) Numerical methods for partial differential equations, boundary value problems (65N99)

Cites Work

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Cited In (12)

• Enhancing credit default swap valuation with meshfree methods
• Two meshless methods based on pseudo spectral delta-shaped basis functions and barycentric rational interpolation for numerical solution of modified Burgers equation
• Delta-shaped basis functions-pseudospectral method for numerical investigation of nonlinear generalized equal width equation in shallow water waves
• The method of approximate fundamental solutions (MAFS) for Stefan problems
• A meshless method for one-dimensional Stefan problems
• A composite method based on delta‐shaped basis functions and Lie group high‐order geometric integrator for solving Kawahara‐type equations
• A combination of Lie group-based high order geometric integrator and delta-shaped basis functions for solving Korteweg–de Vries (KdV) equation
• The method of approximate fundamental solutions (MAFS) for elliptic equations of general type with variable coefficients
• The method of approximate fundamental solutions (MAFS) for Stefan problems for the sphere
• Numerical solution of the Schrödinger equations by using Delta-shaped basis functions
• Unstructured meshing for two asset barrier options
• Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions

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