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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Bibliografski detalji

Glavni autori:	Shuai Wang, Jiameihui Zhu, Tao Liu
Format:	Artigo
Jezik:	Inglês
Izdano:	MDPI AG 2025-08-01
Serija:	Mathematics
Teme:	nonlinear Black–Scholes equation Hermite interpolation high-order option pricing transaction costs
Online pristup:	https://www.mdpi.com/2227-7390/13/17/2727
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