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Calcolo

, 55:51 | Cite as

A multiquadric RBF–FD scheme for simulating the financial HHW equation utilizing exponential integrator

  • Fazlollah Soleymani
  • Malik Zaka Ullah
Article
  • 20 Downloads

Abstract

We propose a computational scheme to solve the financial time-dependent 3D Heston–Hull–White PDE. In fact, a novel radial basis function (RBF) generated finite difference (FD) scheme associated with multiquadric RBF is introduced for solving this convection–diffusion–reaction equation. Non-uniform grids alongside the multiquadric RBF–FD technique are applied to obtain results of high accuracy in significant areas, at which the PDE problem is degenerate and discontinuous. The efficacy of the new scheme is shown through a series of numerical experiments.

Keywords

Multiquadric RBF Heston–Hull–White equation Semi-discretization Weights Exponential integrator 

Mathematics Subject Classification

91B26 65M20 

Notes

Acknowledgements

The authors are thankful to an anonymous referee whose comments and suggestions helped improve this paper.

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Copyright information

© Istituto di Informatica e Telematica del Consiglio Nazionale delle Ricerche 2018

Authors and Affiliations

  1. 1.Department of MathematicsInstitute for Advanced Studies in Basic Sciences (IASBS)ZanjanIran
  2. 2.Department of MathematicsKing Abdulaziz UniversityJeddahSaudi Arabia

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