Radial basis function generated finite differences for option pricing problems (Q1732412)
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scientific article; zbMATH DE number 7041066
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Radial basis function generated finite differences for option pricing problems |
scientific article; zbMATH DE number 7041066 |
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Radial basis function generated finite differences for option pricing problems (English)
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25 March 2019
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RBF-FD
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finite differences
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radial basis function approximation
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PDEs
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multi-asset option pricing
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high-dimensional problems
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0.9226072
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0.9211148
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0.9206358
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0.91605616
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0.9154746
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0.91505307
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0.91502535
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0.91486156
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