On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation
DOI10.1007/s13160-022-00507-0zbMath1492.91429arXiv2108.10418OpenAlexW3194936221MaRDI QIDQ2135558
Chinonso Nwankwo, Weizhong Dai
Publication date: 9 May 2022
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2108.10418
Robin boundary conditioncompact schemeoptimal exercise boundarydividend and non-dividend optionshigh-order analytical approximationRunge-Kutta-5(4) pairs
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)
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