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An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations
Journal article   Peer reviewed

An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations

Malik Zaka Ullah
Computers & mathematics with applications (1987), Vol.79(2), pp.426-439
15/01/2020
DOI: https://doi.org/10.1016/j.camwa.2019.07.011

Abstract

Mathematics Mathematics, Applied Physical Sciences Science & Technology
The objective of this research is to investigate the numerical solution of high-dimensional Black Scholes partial differential equations (PDEs). To do this, the weights of the radial basis function-finite difference (RBF-FD) scheme using inverse multi-quadric function are used with an emphasis on the hotzone. The proposed RBF-FD technique is capable to price multi-asset options efficiently. (C) 2019 Elsevier Ltd. All rights reserved.

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