High-order Gaussian RBF-FD methods for real estate index derivatives with stochastic volatility
DOI10.1016/j.enganabound.2022.11.015zbMath1521.91388OpenAlexW4310017501MaRDI QIDQ6040736
Muddun Bhuruth, Jason Narsoo, Nawdha Thakoor, Yannick Désiré Tangman
Publication date: 22 May 2023
Published in: Engineering Analysis with Boundary Elements (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.enganabound.2022.11.015
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75) Numerical radial basis function approximation (65D12)
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