Investigation of Higher Order Localized Approximations for a Fractional Pricing Model in Finance
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- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
- Tao Liu & Malik Zaka Ullah & Stanford Shateyi & Chao Liu & Yanxiong Yang, 2023. "An Efficient Localized RBF-FD Method to Simulate the Heston–Hull–White PDE in Finance," Mathematics, MDPI, vol. 11(4), pages 1-15, February.
- Huamin Zhang & Feng Ding, 2013. "On the Kronecker Products and Their Applications," Journal of Applied Mathematics, Hindawi, vol. 2013, pages 1-8, June.
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- Yishuai Tian & Yifan Wu, 2024. "Systemic Financial Risk Forecasting: A Novel Approach with IGSA-RBFNN," Mathematics, MDPI, vol. 12(11), pages 1-31, May.
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Keywords
option pricing; fractional Black–Scholes; radial basis function (RBF); RBF-FD; numerical method;All these keywords.
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