Sixth-order compact differencing with staggered boundary schemes and \(3(2)\) Bogacki-Shampine pairs for pricing free-boundary options (Q6631815)
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scientific article; zbMATH DE number 7937881
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sixth-order compact differencing with staggered boundary schemes and \(3(2)\) Bogacki-Shampine pairs for pricing free-boundary options |
scientific article; zbMATH DE number 7937881 |
Statements
Sixth-order compact differencing with staggered boundary schemes and \(3(2)\) Bogacki-Shampine pairs for pricing free-boundary options (English)
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1 November 2024
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sixth-order compact finite difference
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\(3(2)\) Bogacki and Shampine pairs
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Dirichlet and Neumann boundary conditions
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options price
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delta sensitivity
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optimal exercise boundary
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