An Efficient Localized RBF-FD Method to Simulate the Heston–Hull–White PDE in Finance
The Heston–Hull–White three-dimensional time-dependent partial differential equation (PDE) is one of the important models in mathematical finance, at which not only the volatility is modeled based on a stochastic process but also the rate of interest is assumed to follow a stochastic dynamic. Hence,...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-02-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/11/4/833 |