Abstract
In this paper, we propose a numerical scheme to solve multi-dimensional Black-Scholes equation using the global radial basis functions-based dierential quadrature (RBFs-DQ) method. Before applying the method, it is needed to remove mixed derivatives from the Black-Scholes equation by making an appropriate change of variables . Then, any spatial derivatives are approximated by a linear weighted sum of all the function values in the whole physical domain. In the RBFs-DQ method the weighting coecients are computed by RBFs. The method is very easy to implement and the non-singularity is ensured. The proposed method com bines the advantages of the conventional DQ method and the RBFs. It also remains mesh-free feature of RBFs.
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