A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator

DOI10.1007/s10092-018-0294-zzbMath1405.91699OpenAlexW2900719547WikidataQ115606200 ScholiaQ115606200MaRDI QIDQ1713627

Fazlollah Soleymani, Malik Zaka Ullah

Publication date: 25 January 2019

Published in: Calcolo (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10092-018-0294-z

zbMATH Keywords

weightssemi-discretizationexponential integratorHeston-Hull-White equationmultiquadric RBF

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Auctions, bargaining, bidding and selling, and other market models (91B26) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (4)

On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE ⋮ RBF-FD solution for a financial partial-integro differential equation utilizing the generalized multiquadric function ⋮ Study of a time-dependent PDE arising in absorption with chemical reaction using a numerical method ⋮ New iterative methods for finding matrix sign function: derivation and application

Uses Software

• Matlab
• mftoolbox

Cites Work

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