An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations

DOI10.1016/j.camwa.2019.07.011zbMath1443.91334OpenAlexW2962447877MaRDI QIDQ2004501

Malik Zaka Ullah

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

zbMATH Keywords

grid generationBlack-Scholes modelAmerican optionRBF-FD methodhigh-dimensional PDE

Mathematics Subject Classification ID

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)

Related Items

An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options, On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE, On a sparse and stable solver on graded meshes for solving high-dimensional parabolic pricing PDEs, Local radial basis function collocation method for Stokes equations with interface conditions, A strong-form local meshless approach based on radial basis function-finite difference (RBF-FD) method for solving multi-dimensional coupled damped Schrödinger system appearing in Bose-Einstein condensates, Unnamed Item, A local radial basis function-finite difference (RBF-FD) method for solving 1D and 2D coupled Schrödinger-Boussinesq (SBq) equations, A local collocation method with radial basis functions for an electrospinning problem

Uses Software

• Matlab
• BENCHOP

Cites Work

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