Kagraoka, Yusho - In: International Journal of Financial Studies 8 (2020) 4, pp. 1-13
. This study applies the fractional step method and the radial basis functions to solve a PDE with a mixed derivative, and … step method calculates the option premium more accurately and much faster than the radial basis functions. Therefore, from … the numerical experiments, this study concludes that the fractional step method is more appropriate than the radial basis …