Numerical simulation and applications of the convection-diffusion-reaction equation with the radial basis function in a finite-difference mode
Reza Mollapourasl, Majid Haghi and Alfa Heryudono
Year of publication: |
2020
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Authors: | Mollapourasl, Reza ; Haghi, Majid ; Heryudono, Alfa |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 23.2020, 5, p. 33-73
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Subject: | convection-diffusion-reaction equation | radial basis functions (RBFs) | Hermite finite difference | option pricing | stochastic volatility | Heston equation | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Simulation |
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