RBF–based IMEX finite difference schemes for pricing option under liquidity switching

DOI10.1080/00207160.2024.2383757MaRDI QIDQ6590589

Alpesh Kumar, Rajesh Yadav, Gobinda Rakshit, Deepak Kumar Yadav

Publication date: 21 August 2024

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Mathematics Subject Classification ID

Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical radial basis function approximation (65D12)

Cites Work

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