Solving multi-dimensional European option pricing problems by integrals of the inverse quadratic radial basis function on non-uniform meshes

Liu, Tao; Soleymani, Fazlollah; Ullah, Malik Zaka

doi:10.1016/j.chaos.2024.115156

Chaos, Solitons & Fractals

2024

DOI: 10.1016/j.chaos.2024.115156

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Solving multi-dimensional European option pricing problems by integrals of the inverse quadratic radial basis function on non-uniform meshes

Tao Liu,

Fazlollah Soleymani,

Malik Zaka Ullah

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2024

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Cited by 1 publication

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Computing the Set of RBF-FD Weights Within the Integrals of a Kernel-Based Function and Its Applications

Liu,

Ding,

Shateyi

2024

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This paper offers an approach to computing Radial Basis Function–Finite Difference (RBF-FD) weights by integrating a kernel-based function. We derive new weight sets that effectively approximate both the first and second differentiations of a function, demonstrating their utility in interpolation and the resolution of Partial Differential Equations (PDEs). Particularly, the paper evaluates the theoretical weights in interpolation tasks, highlighting the observed numerical orders, and further applies these weights to solve two distinct time-dependent PDE problems.

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Computing the Set of RBF-FD Weights Within the Integrals of a Kernel-Based Function and Its Applications

Liu,

Ding,

Shateyi

2024

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Solving multi-dimensional European option pricing problems by integrals of the inverse quadratic radial basis function on non-uniform meshes

Cited by 1 publication

References 25 publications

Computing the Set of RBF-FD Weights Within the Integrals of a Kernel-Based Function and Its Applications

Computing the Set of RBF-FD Weights Within the Integrals of a Kernel-Based Function and Its Applications

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