Numerical solution of stochastic models using spectral collocation method
نویسندگان
1 Department of Mathematics, Yadegar-e-Imam khomeini (RAH) Share Rey Branch, Islamic Azad University, Tehran, Iran.
2 Department of Mathematics, Yadegar-e-Imam khomeini (RAH) Share Rey Branch, Islamic Azad University, Tehran, Iran.
3 Department of Mathematics, Yadegar-e-Imam khomeini (RAH) Share Rey Branch, Islamic Azad University, Tehran, Iran.
doi
10.22034/cmde.2023.54948.2284چکیده
In this article, the spectral collocation method based on radial basis functions is used to solve the mentioned models. The advantage of this method is that it converts the equations into a system of algebraic equations. Therefore, we can solve this problem with Newton's method. The purpose of this article is to numerically solve stochastic models such as the Heston model, Vasicek model, Cox-Ingersoll and Ross model, and a model of the Black-Scholes called the Genral Stock model. The method is computationally attractive, and numerical examples confirm the validity and efficiency of the proposed method.
