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Abstract
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In this paper, a modification of the original global radial basis functions-based
differential quadrature (RBF-DQ) method is set forth and analyzed. The improved RBF-DQ
method is applicable to the numerical approximation of solutions of a wide range of partial
differential equations (PDEs) with mixed derivative terms. However, it appears to be considerably
faster than the original method. In support of this contention, the multidimensional BlackScholes
(BS) equation in the Geometric Brownian Motion (GBM) framework has been
solved numerically by using the proposed method and compared with results obtained
via the original RBF-DQ method. For accuracy achieved versus work expended, the
improved method performs better
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