Abstract
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.
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Special thanks to the INdAM Research group GNCS and to the Research ITalian network on Approximation (RITA) group fostering collaboration and progress in research.
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Cuomo, S., Di Somma, V. & Sica, F. A note on the numerical resolution of Heston PDEs. Ricerche mat 69, 501–508 (2020). https://doi.org/10.1007/s11587-020-00499-4
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DOI: https://doi.org/10.1007/s11587-020-00499-4