An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations
type: Item
instance of: scholarly article
title: An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations
zbMATH Open document ID: 1443.91334
author: Malik Zaka Ullah
publication date: 2020-10-07T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 35Q91
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 65D12
zbMATH DE Number: 7256586
zbMATH Keywords: Black-Scholes model
zbMATH Keywords: RBF-FD method
zbMATH Keywords: American option
zbMATH Keywords: grid generation
zbMATH Keywords: high-dimensional PDE
describes a project that uses: Matlab
describes a project that uses: BENCHOP
MaRDI profile type: Publication
full work available at URL: j.camwa.2019.07.011
OpenAlex ID: W2962447877
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DOI: 10.1016/J.CAMWA.2019.07.011
published in: Computers & Mathematics with Applications
description: scientific article; zbMATH DE number 7256586