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Efficient Scheme for the Economic Heston–Hull–White Problem Using Novel RBF-FD Coefficients Derived from Multiquadric Function Integrals
- Source :
- Mathematics, Vol 12, Iss 14, p 2234 (2024)
- Publication Year :
- 2024
- Publisher :
- MDPI AG, 2024.
-
Abstract
- This study presents an efficient method using the local radial basis function finite difference scheme (RBF-FD). The innovative coefficients are derived from the integrals of the multiquadric (MQ) function. Theoretical convergence rates for the coefficients used in function derivative approximation are provided. The proposed scheme utilizes RBF-FD estimations on three-point non-uniform stencils to construct the final approximation on a tensor grid for the 3D Heston–Hull–White (HHW) PDE, which is relevant in economics and mathematical finance. Numerical evidence and comparative analyses validate the results and the proposed scheme.
Details
- Language :
- English
- ISSN :
- 22277390
- Volume :
- 12
- Issue :
- 14
- Database :
- Directory of Open Access Journals
- Journal :
- Mathematics
- Publication Type :
- Academic Journal
- Accession number :
- edsdoj.f6b79d1f59a44ea3b5a9ebaa396e64d0
- Document Type :
- article
- Full Text :
- https://doi.org/10.3390/math12142234