Convergence error estimate in solving free boundary diffusion problem by radial basis functions method

摘要

This paper gives an order of convergence in applying the radial basis functions as a meshless method for solving diffusion type problems under free boundary condition. For illustration, the numerical solution of the Black-Scholes equation for pricing American options, which is a classical heat diffusion equation under free boundary value condition, is obtained and compared with the traditional binomial method for numerical verification.