An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations
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Publication:2004501
DOI10.1016/j.camwa.2019.07.011zbMath1443.91334OpenAlexW2962447877MaRDI QIDQ2004501
Publication date: 7 October 2020
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2019.07.011
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Numerical radial basis function approximation (65D12)
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Cites Work
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