Finding an Efficient Computational Solution for the Bates Partial Integro-Differential Equation Utilizing the RBF-FD Scheme

Finding an Efficient Computational Solution for the Bates Partial Integro-Differential Equation Utilizing the RBF-FD Scheme

This paper proposes a computational solver via the localized radial basis function finite difference (RBF-FD) scheme and the use of graded meshes for solving the time-dependent Bates partial integro-differential equation (PIDE) arising in computational finance. In order to avoid facing a large syste...

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Bibliographic Details
Main Authors: Gholamreza Farahmand, Taher Lotfi, Malik Zaka Ullah, Stanford Shateyi
Format: Article
Language:English
Published: MDPI AG 2023-02-01
Series:Mathematics
Subjects:
PIDE
stochastic volatility
semi-discretiztion
RBF-FD
Bates model
Online Access:https://www.mdpi.com/2227-7390/11/5/1123

Internet

https://www.mdpi.com/2227-7390/11/5/1123

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