A note on the numerical resolution of Heston PDEs
| Autor: | Federica Sica, Vittorio Di Somma, Salvatore Cuomo |
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| Přispěvatelé: | Cuomo, S., Di Somma, V., Sica, F. |
| Rok vydání: | 2020 |
| Předmět: |
Computer science
Applied Mathematics General Mathematics Numerical analysis 010102 general mathematics Monte Carlo method Finite difference Heston model 01 natural sciences Mathematics::Numerical Analysis 010305 fluids & plasmas Radial basis functions Alternating direction implicit method Computer Science::Computational Engineering Finance and Science 0103 physical sciences Applied mathematics Meshfree methods ADI Radial basis function 0101 mathematics Focus (optics) |
| Zdroj: | Ricerche di Matematica. 69:501-508 |
| ISSN: | 1827-3491 0035-5038 |
| Popis: | In this paper we aim to compare a popular numerical method with a new, recently proposed meshless approach for Heston PDE resolution. In finance, most famous models can be reformulated as PDEs, which are solved by finite difference and Monte Carlo methods. In particular, we focus on Heston model PDE and we solve it via radial basis functions (RBF) methods and alternating direction implicit. RBFs have become quite popular in engineering as meshless methods: they are less computationally heavy than finite differences and can be applied for high-order problems. |
| Databáze: | OpenAIRE |
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