Hermite Finite Difference Through Kernel Approximations to Efficiently Solve Nonlinear Black-Scholes Model

We develop a high-order compact numerical scheme for solving a nonlinear Black–Scholes equation arising in option pricing under transaction costs. By leveraging a Hermite-enhanced Radial Basis Function-Finite Difference (RBF-HFD) method with three-point stencils, we achieve fourth-order spatial accu...

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發表在:	Mathematics
Main Authors:	Shuai Wang, Jiameihui Zhu, Tao Liu
格式:	Article
語言:	英语
出版:	MDPI AG 2025-08-01
主題:	nonlinear Black–Scholes equation Hermite interpolation high-order option pricing transaction costs
在線閱讀:	https://www.mdpi.com/2227-7390/13/17/2727