Código QR

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...

Descrición completa

Gardado en:
Principais autores: Shuai Wang, Jiameihui Zhu, Tao Liu
Formato: Artigo
Idioma:Inglês
Publicado: MDPI AG 2025-08-01
Series:Mathematics
Assuntos:
nonlinear Black–Scholes equation
Hermite interpolation
high-order
option pricing
transaction costs
Acceso en liña:https://www.mdpi.com/2227-7390/13/17/2727
Tags: Engadir etiqueta
Sen Etiquetas, Sexa o primeiro en etiquetar este rexistro!

Títulos similares