Hermite Finite Difference Through Kernel Approximations to Efficiently Solve Nonlinear Black-Scholes Model
We develop a high-order compact numerical scheme for solving a nonlinear Black–Scholes equation arising in option pricing under transaction costs. By leveraging a Hermite-enhanced Radial Basis Function-Finite Difference (RBF-HFD) method with three-point stencils, we achieve fourth-order spatial accu...
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| Главные авторы: | , , |
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| Формат: | Artigo |
| Язык: | Inglês |
| Опубликовано: |
MDPI AG
2025-08-01
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| Серии: | Mathematics |
| Предметы: | |
| Online-ссылка: | https://www.mdpi.com/2227-7390/13/17/2727 |
| Метки: |
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