On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation (Q2135558)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation |
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On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation (English)
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9 May 2022
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dividend and non-dividend options
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high-order analytical approximation
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optimal exercise boundary
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compact scheme
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Robin boundary condition
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Runge-Kutta-5(4) pairs
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