Numerical investigation of high-dimensional option pricing PDEs by utilizing a hybrid radial basis function -- finite difference procedure

DOI10.1016/J.ENGANABOUND.2024.03.007MaRDI QIDQ6545928FDO

Authors Nawzad M. Ahmed, Fazlollah Soleymani, Rostam K. Saeed

Publication date 29 May 2024

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

zbMATH Keywords

Krylov subspace methodgraded meshesradial basis function (RBF)high-dimensional PDEsmethod of lines (MOL)

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Applications to the sciences (65Z05)

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Cited in

(2)

• RBF–based IMEX finite difference schemes for pricing option under liquidity switching
• On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE

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