RBF-FD solution for a financial partial-integro differential equation utilizing the generalized multiquadric function

DOI10.1016/j.camwa.2020.11.010OpenAlexW3111982796WikidataQ114201548 ScholiaQ114201548MaRDI QIDQ2226775

Fazlollah Soleymani, Shengfeng Zhu

Publication date: 9 February 2021

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2020.11.010

zbMATH Keywords

stochastic volatilityunstructured gridsjump-diffusion modelgeneralized multiquadricRBF-FD method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Related Items (3)

On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE ⋮ High order approximation of derivatives with applications to pricing of financial derivatives ⋮ On a high-order Gaussian radial basis function generated Hermite finite difference method and its application

Uses Software

• Matlab
• mftoolbox

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