A high-order deferred correction method for the solution of free boundary problems using penalty iteration, with an application to American option pricing

DOI10.1016/j.cam.2023.115272arXiv2205.00617MaRDI QIDQ6133000

Kirill Serkh, Da-Wei Wang, Christina C. Christara

Publication date: 21 July 2023

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2205.00617

zbMATH Keywords

Green's functionsfinite differencesAmerican optionsfree boundary problemsdeferred correctionimmersed interface methods

Mathematics Subject Classification ID

Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65Mxx) Numerical methods for partial differential equations, boundary value problems (65Nxx) Elliptic equations and elliptic systems (35Jxx)

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