Radial basis function generated finite differences for option pricing problems
type: Item
instance of: scholarly article
title: Radial basis function generated finite differences for option pricing problems
zbMATH Open document ID: 1409.91279
author: Slobodan Milovanović
author: Lina von Sydow
publication date: 2019-03-25T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M70
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7041066
zbMATH Keywords: RBF-FD
zbMATH Keywords: finite differences
zbMATH Keywords: radial basis function approximation
zbMATH Keywords: PDEs
zbMATH Keywords: multi-asset option pricing
zbMATH Keywords: high-dimensional problems
describes a project that uses: Matlab
describes a project that uses: rbf_qr
describes a project that uses: BENCHOP
MaRDI profile type: Publication
full work available at URL: j.camwa.2017.11.015
OpenAlex ID: W2771952821
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DOI: 10.1016/J.CAMWA.2017.11.015
published in: Computers & Mathematics with Applications
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description: scientific article; zbMATH DE number 7041066