Abstract:This work is concerned with the computational solution of the time-dependent 3D parabolic Heston–Cox–Ingersoll –Ross (HCIR) PDE, which is of practical importance in mathematical finance. The HCIR dynamic states that the model follows randomness for the underlying asset, the volatility and the rate of interest. Since the PDE formulation has degeneracy and non-smoothness at some area of its domain, we design a new numerical solver via semi-discretization and the radial basis function–finite difference (RBF-FD) sc… Show more
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