Abstract
We propose a computational scheme to solve the financial time-dependent 3D Heston-Hull-White PDE. In fact, a novel radial basis function (RBF) generated finite difference (FD) scheme associated with multiquadric RBF is introduced for solving this convection-diffusion-reaction equation. Non-uniform grids alongside the multiquadric RBF-FD technique are applied to obtain results of high accuracy in significant areas, at which the PDE problem is degenerate and discontinuous. The efficacy of the new scheme is shown through a series of numerical experiments.