A Gaussian radial basis function-finite difference technique to simulate the HCIR equation
DOI10.1016/j.cam.2018.08.019zbMath1405.65132OpenAlexW2888469579MaRDI QIDQ1631428
Publication date: 6 December 2018
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2018.08.019
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- A local radial basis function method for advection-diffusion-reaction equations on complexly shaped domains
- Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation
- Stable calculation of Gaussian-based RBF-FD stencils
- Boundary conditions for the single-factor term structure equation
- Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
- On using radial basis functions in a ``finite difference mode with applications to elasticity problems
- RBFs meshless method of lines for time-dependent PDEs with decomposition of interior and boundary data centers
- Analyzing multi-level Monte Carlo for options with non-globally Lipschitz payoff
- A numerical study of Asian option with radial basis functions based finite differences method
- New efficient substepping methods for exponential timestepping
- Accuracy of radial basis function interpolation and derivative approximations on 1 D infinite grids
- Comparative performance of exponential, implicit, and explicit integrators for stiff systems of ODEs
- Inverse multi-quadric RBF for computing the weights of FD method: application to American options
- Novel methods in computational finance
- A class of explicit exponential general linear methods
- Gaussian RBF-FD weights and its corresponding local truncation errors
- A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications
- BENCHOP – The BENCHmarking project in option pricing
- A Theory of the Term Structure of Interest Rates
- Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes
- On the Heston Model with Stochastic Interest Rates
- Computing the Action of the Matrix Exponential, with an Application to Exponential Integrators
- A finite volume – alternating direction implicit approach for the calibration of stochastic local volatility models
- A Local Radial Basis Function Method for High-Dimensional American Option Pricing Problems
- Computational Methods for Option Pricing
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
- Functions of Matrices
- ADI finite difference schemes for option pricing in the Heston model with correlation
This page was built for publication: A Gaussian radial basis function-finite difference technique to simulate the HCIR equation
