A high-order deferred correction method for the solution of free boundary problems using penalty iteration, with an application to American option pricing (Q6133000)
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scientific article; zbMATH DE number 7715647
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A high-order deferred correction method for the solution of free boundary problems using penalty iteration, with an application to American option pricing |
scientific article; zbMATH DE number 7715647 |
Statements
A high-order deferred correction method for the solution of free boundary problems using penalty iteration, with an application to American option pricing (English)
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21 July 2023
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Green's functions
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deferred correction
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free boundary problems
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immersed interface methods
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finite differences
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American options
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